On a Stochastic Renewal Problem

We consider the problem of recovery (minimax estimation) of a linear functional under random errors in observations. An estimate of the loss of quality, due to employing linear methods of recovery, is obtained. A new formalization is also proposed for an informative problem of recovery under random...

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Bibliographic Details
Published in:Theory of probability and its applications 1999-01, Vol.43 (2), p.282-288
Main Author: Darkhovskii, B. S.
Format: Article
Language:English
Subjects:
Inequality
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Summary:We consider the problem of recovery (minimax estimation) of a linear functional under random errors in observations. An estimate of the loss of quality, due to employing linear methods of recovery, is obtained. A new formalization is also proposed for an informative problem of recovery under random errors in information which permits, in various cases, an effective determination of optimal solution without passing to asymptotics in noise.
ISSN:0040-585X
1095-7219
DOI:10.1137/S0040585X9797688X