Minimax-Robust Estimation Problems for Stationary Stochastic Sequences
نویسندگان
چکیده
منابع مشابه
Minimax-robust prediction problem for stochastic sequences with stationary increments and cointegrated sequences
The problem of optimal estimation of the linear functionals Aξ = ∑∞ k=0 a(k)ξ(k) and AN ξ = ∑N k=0 a(k)ξ(k) which depend on the unknown values of a stochastic sequence ξ(m) with stationary nth increments is considered. Estimates are obtained which are based on observations of the sequence ξ(m) + η(m) at points of time m = −1,−2, . . ., where the sequence η(m) is stationary and uncorrelated with...
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ژورنال
عنوان ژورنال: Statistics, Optimization & Information Computing
سال: 2015
ISSN: 2310-5070,2311-004X
DOI: 10.19139/173