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Robust Hypothesis Testing and Robust Time Series Interpolation And Regression

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  • Saleem A. Kassam

Abstract

. Recent results on minimax robust time series interpolation and regression coefficient estimation are generalized and extended through a relationship with robust hypothesis testing. The spectral uncertainty classes in the time series problems are assumed to be convex and to satisfy an integral constraint such as on the variance of the process. It is shown that robust solutions in such cases can always be obtained from the least‐favourable probability density functions for corresponding hypothesis testing problems. A specific class, the bounded spectral densities from the band model, is considered to illustrate the results.

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  • Saleem A. Kassam, 1982. "Robust Hypothesis Testing and Robust Time Series Interpolation And Regression," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(3), pages 185-194, May.
    • Handle: RePEc:bla:jtsera:v:3:y:1982:i:3:p:185-194
    DOI: 10.1111/j.1467-9892.1982.tb00341.x
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    Cited by:

    1. Gather, Ursula & Fried, Roland & Lanius, Vivian, 2005. "Robust detail-preserving signal extraction," Technical Reports 2005,54, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

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