Minimax filtration of linear transformations of stationary sequences

DOI10.1007/BF01066907zbMath0727.62091OpenAlexW2076401806MaRDI QIDQ803702

Mikhail P. Moklyachuk

Publication date: 1991

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01066907

zbMATH Keywords

robustfilteringspectral densityoptimal estimatorLeast favourable spectral densitieslinear least squares estimationlinear transformations of stationary sequencesminimax filtration

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15) 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-robust filtering problem for stochastic sequences with stationary increments

Cites Work

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• Minimax-robust prediction of discrete time series
• Robust techniques for signal processing: A survey
• Sufficient conditions for extremum, penalty functions and regularity

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