Minimax interpolation of stochastic processes with stationary increments from observations with noise

Authors:
M. M. Luz and M. P. Moklyachuk

Translated by:
S. Kvasko

Original publication:
Teoriya Imovirnostei ta Matematichna Statistika, tom **94** (2016).

Journal:
Theor. Probability and Math. Statist. **94** (2017), 121-135

MSC (2010):
Primary 60G10, 60G25, 60G35; Secondary 62M20, 93E10, 93E11

DOI:
https://doi.org/10.1090/tpms/1013

Published electronically:
August 25, 2017

Full-text PDF

Abstract | References | Similar Articles | Additional Information

Abstract: The problem of optimal estimation of the linear functional

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Additional Information

**M. M. Luz**

Affiliation:
Department of Probability Theory, Statistics, and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Academician Glushkov Avenue, 4E, Kyiv 03127, Ukraine

Email:
maksim_luz@ukr.net

**M. P. Moklyachuk**

Affiliation:
Department of Probability Theory, Statistics, and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Academician Glushkov Avenue, 4E, Kyiv 03127, Ukraine

Email:
mmp@univ.kiev.ua

DOI:
https://doi.org/10.1090/tpms/1013

Keywords:
Stochastic process with stationary increments,
robust estimate,
mean square error,
least favorable spectral density,
minimax characteristic

Received by editor(s):
April 12, 2016

Published electronically:
August 25, 2017

Article copyright:
© Copyright 2017
American Mathematical Society