Minimax interpolation of sequences with stationary increments and cointegrated sequences
DOI10.15559/16-VMSTA51zbMath1351.49026arXiv1604.01603OpenAlexW3100343398MaRDI QIDQ340812
Maksym Luz, Mikhail P. Moklyachuk
Publication date: 15 November 2016
Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1604.01603
mean square errorstationary incrementscointegrated sequencesleast favorable spectral densityminimax-robust estimateminimax-robust spectral characteristicstochastic sequence
Inference from stochastic processes and prediction (62M20) Nonparametric estimation (62G05) Stationary stochastic processes (60G10) Optimality conditions for minimax problems (49K35) Prediction theory (aspects of stochastic processes) (60G25)
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