Estimates of Stochastic Processes with Stationary Increments and Cointegrated Sequences

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Luz, Maksym
Otros Autores: Moklyachuk, Mikhail
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Newark : John Wiley & Sons, Incorporated, 2019.
Temas:
Stochastic processes.
Processus stochastiques.
Stochastic processes
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover; Half-Title Page; Title Page; Copyright Page; Contents; Notations; Introduction; 1. Stationary Increments of Discrete Time Stochastic Processes: Spectral Representation; 2. Extrapolation Problem for Stochastic Sequences with Stationary nth Increments; 2.1. The classical method of extrapolation; 2.2. Minimax (robust) method of extrapolation; 2.3. Least favorable spectral density in the class D0ƒ; 2.4. Least favorable spectral densities which admit factorization in the class D0ƒ; 2.5. Least favorable spectral density in the class Duv
  • 2.6. Least favorable spectral density which admits factorization in the class Duv3. Interpolation Problem for Stochastic Sequences with Stationary nth Increments; 3.1. The classical method of interpolation; 3.2. Minimax method of interpolation; 3.3. Least favorable spectral densities in the class D-0,n; 3.4. Least favorable spectral densities in the class D-M, n; 4. Extrapolation Problem for Stochastic Sequences with Stationary nth Increments Based on Observations with Stationary Noise; 4.1. The classical method of extrapolation with noise

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