Interpolation of periodically correlated stochastic sequences

Dubovets’ka, I.; Masyutka, O.; Moklyachuk, M.

doi:10.1090/S0094-9000-2012-00862-4

Interpolation of periodically correlated stochastic sequences

Authors: I. I. Dubovets’ka, O. Yu. Masyutka and M. P. Moklyachuk
Translated by: S. V. Kvasko
Journal: Theor. Probability and Math. Statist. 84 (2012), 43-56
MSC (2010): Primary 60G10, 60G25, 60G35; Secondary 62M20, 93E10, 93E11
DOI: https://doi.org/10.1090/S0094-9000-2012-00862-4
Published electronically: July 26, 2012
MathSciNet review: 2857415
Full-text PDF Free Access

Abstract | References | Similar Articles | Additional Information

Abstract: 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 for calculating the mean square error and spectral characteristic of the optimal linear estimate of a functional are established in the case where the spectral densities are known. The least favorable spectral densities and minimax spectral characteristic of the optimal linear estimate of a functional are found for some classes of admissible spectral densities.

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