Robust Linear Interpolation and Extrapolation of Stationary Time Series in Lp

Yan Liu, Yujie Xue, Masanobu Taniguchi

Research output: Contribution to journalArticle

Abstract

To deal with uncertainty of the spectral distribution, we consider minimax interpolation and extrapolation problems in Lp for stationary processes. The interpolation and extrapolation problems can be regarded as a linear approximation problem on the unit disk in the complex plane. Although the robust one-step-ahead predictor and interpolator has already been considered separately in the previous literature, we give two conditions for the uncertainty class to find the minimax interpolator and extrapolator in the general framework from both the point of view of the observation set and the point of view of evaluation on the interpolation and extrapolation error under the Lp-norm. We show that there exists a minimax interpolator and extrapolator for the class of spectral densities ε-contaminated by unknown spectral densities under our conditions. When the uncertainty class contains spectral distribution functions which are not absolutely continuous to the Lebesgue measure, we show that there exists an approximate interpolator and extrapolator in Lp such that its maximal interpolation and extrapolation error is arbitrarily close to the minimax error when the spectral distributions have densities. Our results are applicable to the stationary harmonizable stable processes.

Original languageEnglish
JournalJournal of Time Series Analysis
DOIs
Publication statusAccepted/In press - 2019 Jan 1

Keywords

  • dual extremal problem
  • extrapolation problem
  • interpolation problem
  • minimax extrapolator and interpolator
  • prediction problem
  • Stationary process

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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