Filtering of periodically correlated processes

zbMATH Open1289.60077MaRDI QIDQ2850862FDOQ2850862

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)

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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)

Cited In (11)

• Minimax-robust filtering problem for stochastic sequences with stationary increments
• Causal Wiener filter banks for periodically correlated time series
• Title not available (Why is that?)
• Asymmetric filters in correlated ARIMA components
• Minimax interpolation of periodically correlated processes.
• Title not available (Why is that?)
• Discrete-time filtering of noise correlated continuous-time processes: modeling and derivation of the sampling period sensitivities
• Linear filtration methods for statistical analysis of periodically correlated random processes. I: Coherent and component methods and their generalization. II: Harmonic series representation
• Filltering of a partially observed process in the case of a high signal –to–noise ratio for correlated systems
• A linear filter for the operational prediction of a periodically correlated process
• Optimal statistical estimates of a periodic function observed in random noise

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