Filtration of linear functionals of periodically correlated sequences

DOI10.1090/S0094-9000-2013-00888-6zbMath1353.60041OpenAlexW1971040830MaRDI QIDQ2922888

I. I. Dubovets'Ka, Mikhail P. Moklyachuk

Publication date: 15 October 2014

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0094-9000-2013-00888-6

zbMATH Keywords

mean square errorrobust estimateleast favorable spectral densityminimax spectral characteristicperiodically correlated sequence

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09) Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Prediction theory (aspects of stochastic processes) (60G25)

Related Items

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, Minimax-robust filtering of functionals from periodically correlated random fields

Cites Work

• A predicton problem in game theory
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Minimax-robust prediction of discrete time series
• ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE
• Periodically Correlated Random Sequences
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item