Minimax-robust filtering problem for stochastic sequences with stationary increments and cointegrated sequences

The problem of optimal estimation of the linear functional $ A{\xi }=\sum _{k=0}^{\infty }a(k)\xi (-k) $ depending on the unknown values of a stochastic sequence $ \xi (m) $ with nth stationary increments from observations of the sequence $ \xi (m)+\eta (m) $ at points $ m=0,-1,-2,\ldots $, where $...

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Bibliographic Details
Main Authors: Maksym Luz, Mikhail Moklyachuk
Format: Article
Language:English
Published: Taylor & Francis Group 2016-12-01
Series:Cogent Mathematics
Subjects:
Online Access:http://dx.doi.org/10.1080/23311835.2016.1167811