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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

9 Interpolation of processes with periodically correlated increments observed with or without noise

In this chapter, we deal with the interpolation problem for stochastic processes with periodically stationary dth increments observed with a periodically stationary stochastic noise process.

By the interpolation problem we understand the problem of the mean square optimal linear estimation of the functional

ANTξ=0(N+1)Ta(t)ξ(t)dt

which depends on the unknown values of the stochastic process ξ(t) with periodically correlated dth increments. Estimates are based on observations of the process ζ(t)=ξ(t)+η(t) at points tR[0;(N+1)T], where η(t) is an uncorrelated with the process ξ(t) periodically stationary stochastic process.

9.1 Hilbert ...

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Publisher Resources

ISBN: 9783111326252