ISSN:
1432-2064
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Summary Robust multivariate prediction and interpolation problems for statistically contaminated vector valued second order stationary processes are considered. The statistical contamination is modeled by requiring that the spectral density matrices of the processes lie within certain nonparametric classes. Both prediction and interpolation are then formalized as games whose saddle point solutions are sought. Finally, such solutions are found and analyzed, for two specific multivariate spectral classes.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF00344722
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