An optimal spectral estimator for multi-dimensional time series with an infinite number of sample points. (English) Zbl 0501.49005


49J99 Existence theories in calculus of variations and optimal control
62M15 Inference from stochastic processes and spectral analysis
49K30 Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.)
49J35 Existence of solutions for minimax problems
49M99 Numerical methods in optimal control
49R50 Variational methods for eigenvalues of operators (MSC2000)
47B25 Linear symmetric and selfadjoint operators (unbounded)
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