Extrapolation of multidimensional stationary processes
Mikhail Moklyachuk, Oleksandr Masyutka · Random Operators and Stochastic Equations · 2006
Estimation problems are considered for a functional which depends on the unknown values of a multidimensional stationary stochastic process based on observations of the process for t < 0. Formulas are proposed for calculation the mean square error and the spectral characteristics of the optimal estimate of the functional under the condition that the spectral density of the process is known. The least favorable spectral densities and the minimax spectral characteristics of the optimal estimate of the functional are found for concrete classes of spectral densities.