Minimax prediction of sequences with periodically stationary increments

DOI10.15330/CMP.13.2.352-376zbMATH Open1480.60085OpenAlexW3199804462WikidataQ114007008 ScholiaQ114007008MaRDI QIDQ5037401

P. S. Kozak, M. M. Luz, Mikhail P. Moklyachuk

Publication date: 1 March 2022

Published in: Carpathian Mathematical Publications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15330/cmp.13.2.352-376

zbMATH Keywords

mean square errorleast favorable spectral densityminimax-robust estimateminimax spectral characteristicperiodically stationary increments

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stationary stochastic processes (60G10) Signal detection and filtering (aspects of stochastic processes) (60G35) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

• Filtering of multidimensional stationary sequences with missing observations

Related Items (2)

Robust interpolation of sequences with periodically stationary multiplicative seasonal increments ⋮ Minimax Prediction of Sequences with Periodically Stationary Increments Observed with Noise and Cointegrated Sequences

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