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)

Review text

The author deals with the problem of the optimal linear estimation of a linear functional which depends on unknown values of a periodically correlated stochastic sequence from observations of the signal sequence and a noise sequence. Formulas for calculation the mean square error and spectral characteristic of the optimal estimate of the functional are proposed in the case where the spectral densities of the signal sequence and the noise sequence are exactly known. The least favourable spectral density and the minimax spectral characteristics of the optimal estimate of the functional are determined in the case where spectral densities of the signal sequence and the noise sequence are not known exactly, but classes of admissible spectral densities are given.

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(13)

• Optimization with respect to covariance sequence parameters
• Interpolation of periodically correlated stochastic sequences
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• Extrapolation of periodically correlated stochastic processes observed with noise
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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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