Robust interpolation of sequences with periodically stationary multiplicative seasonal increments

DOI10.15330/CMP.14.1.105-126zbMath1502.60053arXiv2110.07189OpenAlexW4283119955WikidataQ114006969 ScholiaQ114006969MaRDI QIDQ5053783

M. M. Luz, Mikhail P. Moklyachuk

Publication date: 7 December 2022

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

Full work available at URL: https://arxiv.org/abs/2110.07189

zbMATH Keywords

filteringfractional integrationmean square errorSARFIMAminimax spectral characteristicoptimal linear estimateleast favourable spectral density matrixperiodically stationary increment

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 (1)

Minimax interpolation of continuous time stochastic processes with periodically correlated increments observed with noise

Cites Work

• Minimax prediction of sequences with periodically stationary increments
• Filtering of multidimensional stationary sequences with missing observations

This page was built for publication: Robust interpolation of sequences with periodically stationary multiplicative seasonal increments