Minimax interpolation of stochastic processes with stationary increments from observations with noise

DOI10.1090/tpms/1013zbMath1371.60064OpenAlexW2749715385MaRDI QIDQ5351668

M. M. Luz, Mikhail P. Moklyachuk

Publication date: 30 August 2017

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1013

zbMATH Keywords

stochastic processmean square errorrobust estimatestationary incrementsleast favorable spectral densityminimax characteristic

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

Estimates of functionals constructed from random sequences with periodically stationary increments

Cites Work

• Minimax interpolation of sequences with stationary increments and cointegrated sequences
• A predicton problem in game theory
• Signal extraction from nonstationary time series
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Minimax-robust prediction of discrete time series
• Robust techniques for signal processing: A survey
• Minimax prediction of random processes with stationary increments from observations with stationary noise
• Correlation theory of processes with random stationary 𝑛th increments
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