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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.
Key Words: multidimensional stationary process,; optimal linear estimate,; mean square error,; spectral characteristics,; least favorable spectral density,; minimax-robust spectral characteristics.
Published Online: 2006-08-01
Published in Print: 2006-08-01
Copyright 2006, Walter de Gruyter
