Extremal problems in minimax estimation of sequences

zbMath0658.62100MaRDI QIDQ1111297

S. H. Smith

Publication date: 1985

Published in: Problems of Information Transmission (Search for Journal in Brave)

zbMATH Keywords

linear systemoptimal estimationminimax riskquadratic lossstationary Gaussian sequenceasymptotic minimax estimatorsminimax filtration and interpolation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

Related Items (2)

Minimax estimation of continuous time deterministic signals in colored noise ⋮ Optimal prediction for linear regression with infinitely many parameters.

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