Robust Filtering of Sequences with Periodically Stationary Multiplicative Seasonal Increments

نویسندگان

چکیده

We consider stochastic sequences with periodically stationary generalized multiple increments of fractional order which combines cyclostationary, multi-seasonal, integrated and fractionally patterns. solve the filtering problem for linear functionals constructed from unobserved values a sequence this type based on observations noise sequence. For known matrices spectral densities, we obtain formulas calculating mean square errors characteristics optimal functionals. Formulas that determine least favourable densities minimax (robust) are proposed in case where not exactly while some sets admissible given.

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ژورنال

عنوان ژورنال: Statistics, Optimization and Information Computing

سال: 2021

ISSN: ['2310-5070', '2311-004X']

DOI: https://doi.org/10.19139/soic-2310-5070-1197