Minimax estimation of continuous time deterministic signals in colored noise

DOI10.1016/0304-4149(87)90008-1zbMath0636.62099OpenAlexW2029074395MaRDI QIDQ1098215

Randall K. Bahr, James Antonio Bucklew

Publication date: 1987

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(87)90008-1

zbMATH Keywords

random noiseasymptotic minimax estimation errorcontinuous time estimation of non-random datadeterministic signal filteringlinear noncausal estimatormaximum normalized mean square errornon-parametric filteringsquare-integrable functionssuboptimal estimatorswide sense stationary random process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09) Filtering in stochastic control theory (93E11)

Cites Work

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• Minimax filtration of functions in \(L_ 2\)
• Spline smoothing and optimal rates of convergence in nonparametric regression models
• Extremal problems in minimax estimation of sequences
• Optimal filtering of square-integrable signals in Gaussian noise

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