Minimax Prediction of Sequences with Periodically Stationary Increments Observed with Noise and Cointegrated Sequences

DOI10.52305/JBSU8922OpenAlexW4319340036MaRDI QIDQ6116220

Publication date: 17 July 2023

Published in: Stochastic Processes: Fundamentals and Emerging Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.52305/jbsu8922

zbMATH Keywords

least favorable spectral density minimax-robust estimate minimax spectral characteristic periodically stationary increments PARIMA

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) 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)

This page was built for publication: Minimax Prediction of Sequences with Periodically Stationary Increments Observed with Noise and Cointegrated Sequences