| Abstract: | Abstract. In this paper we shall consider the interpolation problem under the condition that the spectral density of a stationary process concerned is vaguely known (i.e., Huber's ε -contaminated model). Then we can get a minimax robust interpolator for the class of spectral densities S ={ g:g(x)=(1-ε)f(x)+εh(x)ε Ar Do, 0<ε<1}, where f(x) is a known spectral density and D 0 is a certain class of spectral densities. Also we shall consider the time series regression problem under the condition that the residual spectral density is vaguely known. Then we can get a minimax robust regression coefficient estimate for the class of the residual spectral densities S . |
