scientific article

zbMath0569.62083MaRDI QIDQ3685903

H. Vincent Poor, Jürgen Franke

Publication date: 1984

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

predictiontime seriesstationary stochastic processesfilteringARMA modelsminimum mean-square errornonlinear estimationtime domain approachpartial knowledgeminimax criterionfinite-length robust predictorsleast favorable case under uncertaintyMethods for constructing minimax filtersminimax-robust

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Robustness and adaptive procedures (parametric inference) (62F35) Filtering in stochastic control theory (93E11) Inference from stochastic processes and spectral analysis (62M15) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (11)

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-robust prediction of discrete time series ⋮ 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 ⋮ Filtering of multidimensional stationary sequences with missing observations ⋮ Interpolation of stationary sequences observed with a noise ⋮ Interpolation of periodically correlated stochastic sequences ⋮ Robust prediction and interpolation for vector stationary processes

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