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• W3100343398 abstract "We consider the problem of optimal estimation of the linear functional $A_N{xi}=sum_{k=0}^Na(k)xi(k)$ depending on the unknown values of a stochastic sequence $xi(m)$ with stationary increments from observations of the sequence $xi(m)+eta (m)$ at points of the set $mathbb{Z}setminus{0,1,2,ldots,N}$, where $eta(m)$ is a stationary sequence uncorrelated with $xi(m)$. We propose formulas for calculating the mean square error and the spectral characteristic of the optimal linear estimate of the functional in the case of spectral certainty, where spectral densities of the sequences are exactly known. We also consider the problem for a class of cointegrated sequences. We propose relations that determine the least favorable spectral densities and the minimax spectral characteristics in the case of spectral uncertainty, where spectral densities are not exactly known while a set of admissible spectral densities is specified." @default.
• W3100343398 created "2020-11-23" @default.
• W3100343398 creator A5037419564 @default.
• W3100343398 creator A5050179312 @default.
• W3100343398 date "2016-04-01" @default.
• W3100343398 modified "2023-10-16" @default.
• W3100343398 title "Minimax interpolation of sequences with stationary increments and cointegrated sequences" @default.
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• W3100343398 doi "https://doi.org/10.15559/16-vmsta51" @default.
• W3100343398 hasPublicationYear "2016" @default.
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