Minimax-robust estimation problems for sequences with periodically stationary increments observed with noise

DOI10.17721/1812-5409.2020/3.7zbMath1474.60097arXiv2110.07952OpenAlexW3207564436MaRDI QIDQ4991350

M. M. Luz, Mikhail P. Moklyachuk

Publication date: 2 June 2021

Published in: Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.07952

zbMATH Keywords

least favorable spectral densityminimax-robust estimateperiodically stationary incrementsminimax-robust spectral characteristics

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Minimax procedures in statistical decision theory (62C20) 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 (3)

Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences ⋮ Filtering of multidimensional stationary sequences with missing observations ⋮ Estimates of functionals constructed from random sequences with periodically stationary increments

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