Extrapolation of periodically correlated stochastic processes observed with noise

DOI10.1090/S0094-9000-2014-00919-9zbMath1353.60040OpenAlexW2028954671MaRDI QIDQ2923400

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/s0094-9000-2014-00919-9

zbMATH Keywords

mean square errorminimax estimatorperiodically correlated processesleast favorable spectral density

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09) 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 (3)

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
• Interpolation of periodically correlated stochastic sequences
• Robust techniques for signal processing: A survey
• Induced stationary process and structure of locally square integrable periodically correlated processes
• Characterization of the spectra of periodically correlated processes
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