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Robust estimates of functionals of homogeneous random fields
Taras Shevchenko National University of Kyiv, Kyiv, Ukraine.
Taras Shevchenko National University of Kyiv, Kyiv, Ukraine.ORCID iD: 0000-0002-7652-8157
2003 (English)In: Teoriâ slučajnyh processov : Theory of Stochastic Processes, ISSN 0321-3900, Vol. 9, no 3-4, p. 101-113Article in journal (Refereed) Published
Abstract [en]

Problems of estimation of the functional AT ξ = ∞∫−∞T∫0a(s, t)ξ(s, t)dsdt on the unknown values of a random field ξ (s, t) , s ∈ R, t ∈ [0, T ] from observations of the field ξ (u, v)+η (u, v) for (u, v) ∈ R×(R\[0, T ]) are investigated. Formulas are proposed for calculation the mean square errors and spectral characteristics of the optimal linear estimate. The least favourable spectral densities and the minimax-robust spectral characteristics of the optimal linear estimates of the linear functional AT ξ are found for various classes of random fields.

Place, publisher, year, edition, pages
Institute of Mathematics of the National Academy of Sciences of Ukraine , 2003. Vol. 9, no 3-4, p. 101-113
Keywords [en]
Random fields, mean square errors, spectral characteristics, optimal linear estimate, least favourable spectral densities, minimax-robust spectral characteristics
National Category
Mathematics
Identifiers
URN: urn:nbn:se:oru:diva-105116OAI: oai:DiVA.org:oru-105116DiVA, id: diva2:1745089
Available from: 2023-03-22 Created: 2023-03-22 Last updated: 2023-03-23Bibliographically approved

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Shchestyuk, Nataliya

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