Minimax-robust prediction of discrete time series

DOI10.1007/BF00532645zbMath0537.60034OpenAlexW2162543611MaRDI QIDQ3322936

Jürgen Franke

Publication date: 1985

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00532645

zbMATH Keywords

prediction errormaximum entropyspectral densityrobust predictor

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical aspects of information-theoretic topics (62B10) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (24)

On minimax filtration of vector processes ⋮ Minimax Prediction Problem for Multidimensional Stationary Stochastic Processes ⋮ Minimax interpolation of sequences with stationary increments and cointegrated sequences ⋮ Filtration of linear functionals of periodically correlated sequences ⋮ Interpolation of functionals of stochastic sequences with stationary increments ⋮ Minimax-robust filtering problem for stochastic sequences with stationary increments ⋮ Minimax interpolation of stochastic processes with stationary increments from observations with noise ⋮ Robust Linear Interpolation and Extrapolation of Stationary Time Series in L^p ⋮ Universal prediction of random binary sequences in a noisy environment ⋮ Robust Kalman tracking and smoothing with propagating and non-propagating outliers ⋮ 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 ⋮ Minimax interpolation of harmonizable sequences ⋮ Filtering of multidimensional stationary sequences with missing observations ⋮ Interpolation of stationary sequences observed with a noise ⋮ Interpolation of periodically correlated stochastic sequences ⋮ Estimates of functionals constructed from random sequences with periodically stationary increments ⋮ Estimation problems for periodically correlated isotropic random fields ⋮ Minimax filtration of linear transformations of stationary sequences ⋮ Extrapolation of multidimensional stationary processes ⋮ Distributionally Robust Inventory Control When Demand Is a Martingale ⋮ Robust prediction and interpolation for vector stationary processes ⋮ ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE

Cites Work

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• The prediction theory of multivariate stochastic processes. III: Unbounded spectral densities
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• Lectures on mathematical theory of extremum problems. Translated from the Russian by D. Louvish
• Robust Wiener- Kolmogorov theory
• ON THE ROBUST PREDICTION AND INTERPOLATION OF TIME SERIES IN THE PRESENCE OF CORRELATED NOISE
• Extension to the maximum entropy method II
• Some recent advances in time series modeling
• Stable and efficient lattice methods for linear prediction
• Efficient solution of covariance equations for linear prediction
• Extension to the maximum entropy method
• Robust Estimation of a Location Parameter
• Notes on maximum-entropy processing (Corresp.)
• When is an altoregressive scheme stationary

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