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math.ST2021★ 1 cited
Minimax-robust estimation problems for sequences with periodically stationary increments observed with noise
Maksym Luz, Mikhail Moklyachuk
The problem of optimal estimation of linear functionals constructed from the unobserved values of a stochastic sequence with periodically stationary increments based on observation…
math.ST2021
Robust filtering of sequences with periodically stationary multiplicative seasonal increments
Maksym Luz, Mikhail Moklyachuk
We study stochastic sequences with periodically stationary generalized multiple increments of fractional order which combines cyclostationary, multi-seasonal, integrated and…
math.ST2020
Minimax-robust forecasting of sequences with periodically stationary long memory multiple seasonal increments
Maksym Luz, Mikhail Moklyachuk
We introduce stochastic sequences with periodically stationary generalized multiple increments of fractional order which combines cyclostationary, multi-seasonal, integrated…