This article is cited in 9 papers

Short Communications

On a stochastic renewal problem

B. S. Darhovsky

Institute of Systems Analysis, Russian Academy of Sciences

Abstract: 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.

Keywords: minimax estimation, recovery of a linear functional.

Received: 17.04.1997

DOI: 10.4213/tvp1471

 English version: Theory of Probability and its Applications, 1999, 43:2, 282–288

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