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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

5 Filtering of sequences with periodically stationary increments

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.

5.1 Hilbert space projection method of filtering

5.1.1 Filtering of multidimensional stochastic sequences with stationary GM increment

Consider a multidimensional stochastic sequence ξ(m) with stationary GM increments constructed ...

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Publisher Resources

ISBN: 9783111326252