Minimax interpolation of sequences with stationary increments and cointegrated sequences
We consider the problem of optimal estimation of the linear functional $A_{N}\xi ={\sum _{k=0}^{N}}a(k)\xi (k)$ 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...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
VTeX
2016-04-01
|
| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://vmsta.vtex.vmt/doi/10.15559/16-VMSTA51 |