• Corpus ID: 238744064

Minimax extrapolation problem for periodically correlated stochastic sequences with missing observations

@inproceedings{Golichenko2021MinimaxEP,
  title={Minimax extrapolation problem for periodically correlated stochastic sequences with missing observations},
  author={Iryna Golichenko and Oleksandr Masyutka and Mikhail P. Moklyachuk},
  year={2021}
}
The problem of optimal estimation of the linear functionals which depend on the unknown values of a periodically correlated stochastic sequence ζ(j) from observations of the sequence ζ(j) + θ(j) at points j ∈ {. . . ,−n, . . . ,−2,−1, 0}\S, S = ⋃ s−1 l=1 {−Ml ·T+1, . . . ,−Ml−1 ·T−Nl ·T}, is considered, where θ(j) is an uncorrelated with ζ(j) periodically correlated stochastic sequence. Formulas for calculation the mean square error and the spectral characteristic of the optimal estimate of the… 

References

SHOWING 1-10 OF 45 REFERENCES
Interpolation Problem for Periodically Correlated Stochastic Sequences with Missing Observations
The problem of mean square optimal estimation of linear functionals which depend on the unobserved values of a periodically correlated stochastic sequence is considered. The estimates are based on
Extrapolation Problem for Multidimensional Stationary Sequences with Missing Observations
This paper focuses on the problem of the mean square optimal estimation of linear functionals which dependon the unknown values of a multidimensional stationary stochastic sequence. Estimates are
Interpolation Problem for Multidimensional Stationary Processes with Missing Observations
The problem of the mean-square optimal linear estimation of linear functionals which depend on the unknown values of a multidimensional continuous time stationary stochastic processis
Minimax-robust estimation problems for stationary stochastic sequences
This survey provides an overview of optimal estimation of linear functionals which depend on the unknown values of a stationary stochastic sequence. Based on observations of the sequence without
Filtering of multidimensional stationary sequences with missing observations
The problem of mean-square optimal linear estimation of linear functionals which depend on the unknown values of a multidimensional stationary stochastic sequence is considered. Estimates are based
Periodically Correlated Processes Estimates
Description of methods of estimation of linear functionals depending on the unknown values of periodically correlated random processes based on observations of the processes and noise is presented.
Interpolation of periodically correlated stochastic sequences
We study the problem of optimal estimation of a linear functional of unknown values of a periodically correlated random sequence from observed values of a sequence with an additive noise. Formulas
Minimax Prediction Problem for Multidimensional Stationary Stochastic Processes
We consider the problem of estimation of the unknown value of the functionals and which depend on the unknown values of a multidimensional stationary stochastic process based on observations of the
Interpolation Problem for Stationary Sequences with Missing Observations
The problem of the mean-square optimal estimation of the linear functional $A_s\xi=\sum\limits_{l=0}^{s-1}\sum\limits_{j=M_l}^{M_l+N_{l+1}}a(j)\xi(j),$ $M_l=\sum\limits_{k=0}^l (N_k+K_k),$ \,
Statistics of regenerative digital transmission
Statistics of a synchronous binary message pulse train applied to a regenerative repeater are related to those of the original binary message, which is assumed ergodic. It is shown that the ensemble
...
1
2
3
4
5
...