Random Operators and Stochastic Equations
Editor-in-Chief: Girko, Vyacheslav
Managing Editor: Molchanov, S.
Editorial Board Member: Accardi, L. / Albeverio, Sergio / Carmona, R. / Casati, G. / Christopeit, N. / Domanski, C. / Drygas, Hilmar / Gupta, A.K. / Ibragimov, I. / Kirsch, Werner / Klein, A. / Kondratyev, Yuri / Kurotschka, V. / Leonenko, N. / Loubaton, Philippe / Orsingher, E. / Pastur, L. / Rodrigues, Waldyr A. / Shiryaev, Albert / Turbin, A.F. / Veretennikov, Alexandre
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Mathematical Citation Quotient 2011: 0.14
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Most Downloaded Articles
- An ergodic-type theorem for generalized Ornstein–Uhlenbeck processes by Yurachkivsky, Andriy
- The Strong Circular Law. Twenty years later. Part I by Girko, V. L.
- Spectral analysis of stochastic recurrence systems of growing dimension under G-condition. Canonical equation K 91 by Girko, V. L. and Vladimirova, A. I.
- Distribution of random variable represented by binary fraction with two redundant digits 2 and 3 having the same distribution by Pratsiovytyi, Mykola V. and Makarchuk, Oleg P.
- The Generalized Circular Law by Girko, Vyacheslav
Extrapolation of multidimensional stationary processes
1Department of Probability Theory and Mathematical Statistics, Kyiv National University, Kyiv, 01033, Ukraine
Citation Information: Random Operators and Stochastic Equations rose. Volume 14, Issue 3, Pages 233–244, ISSN (Online) 1569-397x, ISSN (Print) 0926-6364, DOI: 10.1515/156939706778239819, August 2006
Estimation problems are considered for a functional which depends on the unknown values of a multidimensional stationary stochastic process based on observations of the process for t < 0. Formulas are proposed for calculation the mean square error and the spectral characteristics of the optimal estimate of the functional under the condition that the spectral density of the process is known. The least favorable spectral densities and the minimax spectral characteristics of the optimal estimate of the functional are found for concrete classes of spectral densities.