Filtering problem for periodically correlated stochastic sequences with missing observations
I. I. Golichenko,
M. P. Moklyachuk
Abstract:The problem of the mean-square optimal estimation of the linear functionals which depend on the unknown values of a periodically correlated stochastic sequence from observations of the sequence with missings is considered. Formulas for calculation the mean-square error and the spectral characteristic of the optimal estimate of the functionals 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 spect… Show more
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