Minimax prediction of random processes with stationary increments from observations with stationary noise

DOI10.1080/23311835.2015.1133219zbMath1426.62276OpenAlexW2280997290MaRDI QIDQ4966725

Maksym Luz, Mikhail P. Moklyachuk

Publication date: 27 June 2019

Published in: Cogent Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/23311835.2015.1133219

zbMATH Keywords

mean square errorleast favorable spectral densityminimax spectral characteristicminimax robust estimaterandom process with stationary increments

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) 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

Minimax interpolation of stochastic processes with stationary increments from observations with noise, Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences

Cites Work

• A predicton problem in game theory
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• Robust techniques for signal processing: A survey
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