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Extrapolation problem for periodically correlated stochastic sequences with missing observations
Author(s) -
Iryna Golichenko,
AUTHOR_ID,
Oleksandr Masyutka,
Mikhail Moklyachuk,
AUTHOR_ID,
AUTHOR_ID
Publication year - 2021
Publication title -
vìsnik. serìâ fìziko-matematičnì nauki/vìsnik kiì̈vsʹkogo nacìonalʹnogo unìversitetu ìmenì tarasa ševčenka. serìâ fìziko-matematičnì nauki
Language(s) - English
Resource type - Journals
eISSN - 2218-2055
pISSN - 1812-5409
DOI - 10.17721/1812-5409.2021/2.6
Subject(s) - mathematics , sequence (biology) , extrapolation , mean square , minimax , combinatorics , uncorrelated , mathematical analysis , statistics , mathematical optimization , genetics , biology
The problem of optimal estimation of the linear functionals $A{\zeta}=\sum_{j=1}^{\infty}{a}(j){\zeta}(j),$ which depend on the unknown values of a periodically correlated stochastic sequence ${\zeta}(j)$ from observations of the sequence ${\zeta}(j)+{\theta}(j)$ at points $j\in\{...,-n,...,-2,-1,0\}\setminus S$, $S=\bigcup _{l=1}^{s-1}\{-M_l\cdot T+1,\dots,-M_{l-1}\cdot T-N_{l}\cdot T\}$, is considered, where ${\theta}(j)$ is an uncorrelated with ${\zeta}(j)$ periodically correlated stochastic sequence. Formulas for calculation the mean square error and the spectral characteristic of the optimal estimate of the functional $A\zeta$ are proposed in the case where spectral densities of the sequences are exactly known. Formulas that determine the least favorable spectral densities and the minimax-robust spectral characteristics of the optimal estimates of functionals are proposed in the case of spectral uncertainty, where the spectral densities are not exactly known while some sets of admissible spectral densities are specified.

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