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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

4 Interpolation of sequences with periodically stationary increments observed with or without noise

In this chapter we deal with the interpolation problem for stochastic sequences with periodically stationary long memory multi-seasonal increments. Estimates are based on observations of the sequence with a periodically stationary noise sequence.

To describe the problem precisely consider a stochastic sequence ϑ(m) with periodically stationary GM increments and a periodically stationary noise sequence η(m) uncorrelated with ϑ(m). Consider a multidimensional stochastic sequence with stationary GM increments ξ(m) generated by transformation (1.2) and a multidimensional stationary stochastic sequence η(m) uncorrelated with the sequence ξ(

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Publisher Resources

ISBN: 9783111326252