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Non-Stationary Stochastic Processes Estimation
book

Non-Stationary Stochastic Processes Estimation

by Maksym Luz, Mikhail Moklyachuk
May 2024
Intermediate to advanced content levelIntermediate to advanced
310 pages
7h 41m
English
De Gruyter
Content preview from Non-Stationary Stochastic Processes Estimation

3 Extrapolation of sequences with periodically stationary increments observed with noise

In this chapter, we deal with the extrapolation problem for stochastic sequences with periodically stationary long memory multi-seasonal increments based on observations with periodically stationary noise.

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 with a periodically stationary noise sequence.

3.1 Hilbert space projection method of extrapolation

3.1.1 Extrapolation of multidimensional sequences ...

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Publisher Resources

ISBN: 9783111326252