Robust interpolation of sequences with periodically stationary multiplicative seasonal increments

Robust interpolation of sequences with periodically stationary multiplicative seasonal increments

We consider stochastic sequences with periodically stationary generalized multiple increments of fractional order which combines cyclostationary, multi-seasonal, integrated and fractionally integrated patterns. We solve the interpolation problem for linear functionals constructed from unobserved val...

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Bibliographic Details
Main Authors: M.M. Luz, M.P. Moklyachuk
Format: Article
Language:English
Published: Vasyl Stefanyk Precarpathian National University 2022-06-01
Series:Karpatsʹkì Matematičnì Publìkacìï
Subjects:
periodically stationary increment
sarfima
fractional integration
filtering
optimal linear estimate
mean square error
least favourable spectral density matrix
minimax spectral characteristic
Online Access:https://journals.pnu.edu.ua/index.php/cmp/article/view/5029

Internet

https://journals.pnu.edu.ua/index.php/cmp/article/view/5029

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