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.
The problem of mean-square optimal linear estimation of linear functionals which depend on the unknown values of a multidimensional stationary stochastic sequence from observations of the sequence with a noise and missing observations is considered. Formulas for calculating the meansquare errors and the spectral characteristics of the optimal linear estimates of the functionals are proposed under the condition of spectral certainty, where spectral densities of the sequences are exactly known. The minimax (robust) method of estimation is applied in the case where spectral densities are not known exactly while some sets of admissible spectral densities are given. Formulas that determine the least favorable spectral densities and minimax spectral characteristics are proposed for some special sets of admissible densities.
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