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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

10 Filtering of processes with periodically correlated increments

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

By the filtering problem we understand the problem of the mean square optimal linear estimation of the functionals

Aξ=0a(t)ξ(t)dt,ANTξ=0(N+1)Ta(t)ξ(t)dt,

which depend 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 t0, where η(t) is an uncorrelated with the process ξ(t) periodically stationary stochastic process.

10.1 Hilbert space projection method of filtering ...

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Publisher Resources

ISBN: 9783111326252