Filtering of multidimensional stationary sequences with missing observations

DOI10.15330/cmp.11.2.361-378zbMath1458.60039arXiv1804.08408OpenAlexW3004830317MaRDI QIDQ5219899

M. I. Sidei, Yu. O. Masyutka, Mikhail P. Moklyachuk

Publication date: 13 March 2020

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

Full work available at URL: https://arxiv.org/abs/1804.08408

zbMATH Keywords

mean square errorstationary sequenceleast favorable spectral densityminimax-robust estimateminimax spectral characteristic

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)

Related Items (2)

Minimax prediction of sequences with periodically stationary increments ⋮ Robust interpolation of sequences with periodically stationary multiplicative seasonal increments

Cites Work

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