On guaranteed estimation of the spectral density of an autoregression moving average process

DOI10.1023/A:1020050424620zbMath1024.62038OpenAlexW1773240293MaRDI QIDQ1812347

D. V. Shapovalov, Victor Konev

Publication date: 25 November 2003

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

Full work available at URL: https://doi.org/10.1023/a:1020050424620

zbMATH Keywords

filtrationspectral analysisspectral densityautoregression moving average processprediction of signals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Sequential estimation (62L12)

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