Interpolation of functionals of stochastic sequences with stationary increments

DOI10.1090/S0094-9000-2014-00908-4zbMath1343.60039OpenAlexW2064205548MaRDI QIDQ2923386

M. M. Luz, 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/s0094-9000-2014-00908-4

zbMATH Keywords

mean square errorstationary incrementsrobust estimatorleast favorable spectral densityminimax spectral characteristic

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) 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 (6)

Minimax interpolation of sequences with stationary increments and cointegrated sequences ⋮ 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 ⋮ Minimax interpolation of harmonizable sequences ⋮ Estimates of functionals constructed from random sequences with periodically stationary increments

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
• Correlation theory of processes with random stationary 𝑛th increments
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