Minimax Prediction Problem for Multidimensional Stationary Stochastic Processes

DOI10.1080/03610926.2011.581190zbMath1279.60046OpenAlexW2022949162MaRDI QIDQ2890101

Aleksandr Yu. Masyutka, Mikhail P. Moklyachuk

Publication date: 8 June 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.581190

zbMATH Keywords

mean square errorrobust estimateleast favorable spectral densitystationary stochastic processminimax spectral characteristic

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) Control/observation systems with incomplete information (93C41) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (3)

Minimax-robust filtering problem for stochastic sequences with stationary increments ⋮ Minimax prediction of random processes with stationary increments from observations with stationary noise ⋮ Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences

Cites Work

• A predicton problem in game theory
• An analysis of the effects of spectral uncertainty on Wiener filtering
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Minimax-robust prediction of discrete time series
• Extrapolation of multidimensional stationary processes
• Robust techniques for signal processing: A survey
• ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE
• A view of three decades of linear filtering theory
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