Extrapolation of multidimensional stationary processes

DOI10.1515/156939706778239819zbMath1117.62100OpenAlexW2044843999MaRDI QIDQ3440799

Aleksandr Yu. Masyutka, Mikhail P. Moklyachuk

Publication date: 29 May 2007

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/156939706778239819

zbMATH Keywords

mean square errorspectral characteristicsmultidimensional stationary processleast favourable spectral densityoptimal linear estimateminimax-robust spectral characteristics

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Estimation and detection in stochastic control theory (93E10)

Related Items (4)

Minimax Prediction Problem for Multidimensional Stationary Stochastic Processes ⋮ On one statistical model of error rate in the stream of packet data transmission through communication channels ⋮ Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences ⋮ Interpolation of periodically correlated stochastic sequences

Cites Work

• A predicton problem in game theory
• An analysis of the effects of spectral uncertainty on Wiener filtering
• Minimax-robust prediction of discrete time series
• A view of three decades of linear filtering theory
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