Estimates of Stochastic Processes with Stationary Increments and Cointegrated Sequences

Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Luz, Maksym
Autres auteurs: Moklyachuk, Mikhail
Format: Électronique eBook
Langue:Inglés
Publié: Newark : John Wiley & Sons, Incorporated, 2019.
Sujets:
Stochastic processes.
Processus stochastiques.
Stochastic processes
Accès en ligne:Texto completo
Table des matières:
  • 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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