May 2024
Intermediate to advanced
310 pages
7h 41m
English
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
which depend on the unknown values of the stochastic process with periodically correlated dth increments. Estimates are based on observations of the process at points , where is an uncorrelated with the process periodically stationary stochastic process.