Abstract
A minimax procedure is found for filtering the "signal" from the "noise" in a stationary time series when it is known only that the spectral distribution function of the "signal" lies in a convex set defined by linear inequalities.
Citation
Leo Breiman. "A Note on Minimax Filtering." Ann. Probab. 1 (1) 175 - 179, February, 1973. https://doi.org/10.1214/aop/1176997033
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