Minimax prediction of random processes with stationary increments from observations with stationary noise
We deal with the problem of mean square optimal estimation of linear functionals which depend on the unknown values of a random process with stationary increments based on observations of the process with noise, where the noise process is a stationary process. Formulas for calculating values of the...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2016-12-01
|
| Series: | Cogent Mathematics |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/23311835.2015.1133219 |