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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