Accessible Unlicensed Requires Authentication Published by De Gruyter August 1, 2006

Extrapolation of multidimensional stationary processes

Mikhail P. Moklyachuk and Aleksandr Yu. Masyutka
From the journal

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.

Published Online: 2006-08-01
Published in Print: 2006-08-01

Copyright 2006, Walter de Gruyter