2 Extrapolation of sequences with periodically stationary increments
In this chapter, we present results of the investigation of the extrapolation problem for stochastic sequences with periodically stationary long memory multi-seasonal increments.
The extrapolation problem consists in the mean square optimal linear estimation of some functionals which depend on the future unobservable values of a stochastic sequence with periodically stationary long memory multi-seasonal increments. Estimates are based on observations of the sequence in the past.
2.1 Hilbert space projection method of extrapolation
2.1.1 Extrapolation of multidimensional stationary GM increment
Consider a multidimensional stochastic sequence with stationary GM increments ...
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