Filtering of periodically correlated processes

MaRDI QIDQ2850862zbMATHFDO

Authors I. I. Dubovets'ka, M. P. Moklyachuk

Publication date 1 October 2013

Published in Prykladna Statystyka. Aktuarna ta Finansova Matematyka (Search for Journal in Brave)

zbMATH Keywords

mean square errorrobust estimateperiodically correlated processminimax spectral characteristicleast favourable spectral density

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Estimation and detection in stochastic control theory (93E10)

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Cited in

(15)

• Optimal statistical estimates of a periodic function observed in random noise
• Minimax-robust filtering problem for stochastic sequences with stationary increments
• A linear filter for the operational prediction of a periodically correlated process
• Filtration of linear functionals of periodically correlated sequences
• Minimax-robust filtering of functionals from periodically correlated random fields
• Extrapolation of periodically correlated stochastic processes observed with noise
• Asymmetric filters in correlated ARIMA components
• Filltering of a partially observed process in the case of a high signal –to–noise ratio for correlated systems
• Minimax interpolation of periodically correlated processes.
• Causal Wiener filter banks for periodically correlated time series
• Discrete-time filtering of noise correlated continuous-time processes: modeling and derivation of the sampling period sensitivities
• scientific article; zbMATH DE number 3898068 (Why is no real title available?)
• scientific article; zbMATH DE number 6607804 (Why is no real title available?)
• Linear filtration methods for statistical analysis of periodically correlated random processes. I: Coherent and component methods and their generalization. II: Harmonic series representation
• Estimates of functionals of periodically correlated stochastic processes

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