May 2024
Intermediate to advanced
310 pages
7h 41m
English
In this chapter, we deal with the filtering problem for stochastic sequences with periodically stationary long memory multi-seasonal increments based on observations of the sequence with a periodically stationary noise sequence. The problem is investigated with the help of representation of the considered sequences in the form of a multidimensional stochastic sequence with stationary GM increments and a multidimensional stationary noise sequence.
Consider a multidimensional stochastic sequence with stationary GM increments constructed ...