Extrapolation problem for periodically correlated stochastic sequences with missing observations

DOI10.17721/1812-5409.2021/2.6zbMath1488.60078arXiv2002.04383OpenAlexW4210642370MaRDI QIDQ5018584

O. Yu. Masyutka, I. I. Golichenko, Mikhail P. Moklyachuk

Publication date: 21 December 2021

Published in: Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.04383

zbMATH Keywords

mean square errorleast favorable spectral densityminimax spectral characteristicminimax spectral characteristicsperiodically correlated sequenceoptimal linear estimateperiodically correlated stochastic sequenceleast favourable spectral density matrixminimax (robust) estimate

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Minimax procedures in statistical decision theory (62C20) Stationary stochastic processes (60G10) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35) Prediction theory (aspects of stochastic processes) (60G25)

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