Extrapolation problem for functionals from a periodically correlated sequence

MaRDI QIDQ2897601zbMATH OpenFDO

Authors I. I. Dubovets'ka

Publication date 16 July 2012

Published in Visnyk. Matematyka. Mekhanika. Kyïvs'kyĭ Universytet Imeni Tarasa Shevchenka (Search for Journal in Brave)

zbMATH Keywords

least favourable spectral densityminimax spectral characteristicoptimal estimateperiodically correlated sequence

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

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(13)

• Optimization with respect to covariance sequence parameters
• Interpolation of periodically correlated stochastic sequences
• Filtering of periodically correlated processes
• Filtration of linear functionals of periodically correlated sequences
• Extrapolation of periodically correlated stochastic processes observed with noise
• Estimates of functionals of periodically correlated stochastic processes
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• The maximum prediction error for periodically correlated sequences
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• Explicit Formula for the Best Linear Predictor of Periodically Correlated Sequences
• On periodic asymmetric extrapolation
• Functional estimation incorporating prior correlation information

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