Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences

DOI10.1080/23311835.2016.1167811zbMath1426.60046OpenAlexW2307875062MaRDI QIDQ4966753

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/10.1080/23311835.2016.1167811

zbMATH Keywords

mean square errorminimax-robust estimateminimax-robust spectral characteristicleast favourable spectral densitycointegrated sequencestochastic sequence with stationary increments

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (2)

Filtering of multidimensional stationary sequences with missing observations ⋮ Distributionally Robust Inventory Control When Demand Is a Martingale

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