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Items for "multidimensional stationary process"

Extrapolation of multidimensional stationary processes

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...

Keywords: multidimensional stationary process, optimal linear estimate, mean square error, spectral characteristics, least favorable spectral density, minimax-robust spectral characteristics

08/2006 | Random Operators and Stochastic Equations, Walter de Gruyter