Extrapolation problem for functionals from a periodically correlated sequence (Q2897601)

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.