TY - JOUR
AU - Moklyachuk, M. P.
AU - Luz, M. M.
PY - 2020/11/30
Y2 - 2024/07/16
TI - Minimax-robust estimation problems for sequences with periodically stationary increments observed with noise
JF - Bulletin of Taras Shevchenko National University of Kyiv. Physical and Mathematical Sciences
JA - BTSNUKPhM
VL -
IS - 3
SE - Algebra, Geometry and Probability Theory
DO - 10.17721/1812-5409.2020/3.7
UR - https://bphm.knu.ua/index.php/bphm/article/view/131
SP - 68-83
AB - <p>The problem of optimal estimation of linear functionals constructed from the unobserved values of a stochastic sequence with periodically stationary increments based on observations of the sequence with stationary noise is considered. For sequences with known spectral densities, we obtain formulas for calculating values of the mean square errors and the spectral characteristics of the optimal estimates of the functionals. Formulas that determine the least favorable spectral densities and the minimax-robust spectral characteristics of the optimal linear estimates of functionals are proposed in the case where spectral densities of the sequence are not exactly known while some sets of admissible spectral densities are specified.</p><p><em><strong><span lang="EN-US">Key words</span></strong></em><span lang="EN-US">: </span>periodically stationary increments, minimax-robust estimate, least favorable spectral density, minimax-robust spectral characteristics.</p><p><em><strong><span lang="EN-US">Pages of the article in the issue</span></strong></em><span lang="EN-US">: 68 - 83</span></p><p><strong><em><span lang="EN-US">Language of the article</span></em></strong><span lang="EN-US">: English</span></p>
ER -