Affiliation:
1. Taras Shevchenko National University of Kyiv
2. BNP Paribas Cardif
Abstract
The problem of optimal estimation of linear functionals constructed from the unobserved values of a stochastic sequence with periodically stationary increments based on observations of the sequence with stationary noise is considered. For sequences with known spectral densities, we obtain formulas for calculating values of the mean square errors and the spectral characteristics of the optimal estimates of the functionals. Formulas that determine the least favorable spectral densities and the minimax-robust spectral characteristics of the optimal linear estimates of functionals are proposed in the case where spectral densities of the sequence are not exactly known while some sets of admissible spectral densities are specified.
Publisher
Taras Shevchenko National University of Kyiv
Subject
Medical Assisting and Transcription,Medical Terminology
Reference45 articles.
1. Baek, C., Davis, R. A. and Pipiras, V. (2018) Periodic dynamic factor models: estimation approaches and applications. Electron. J. Stat. 12(2). pp. 4377--4411.
2. Basawa, I. V., Lund, R. and Shao, Q. (2004) First-order seasonal autoregressive processes with periodically varying parameters. Stat. Probab. Lett. 67(4). pp. 299--306.
3. Box, G. E. PP., Jenkins, G. M., Reinsel, G. C. and Ljung, G.M. (2016) Time series analysis, Forecasting and control. 5rd ed., Hoboken, NJ: John Wiley and Sons.
4. Dubovets'ka, I. I., Masyutka, A. Yu. and Moklyachuk, M. P. (2012) Interpolation of periodically correlated stochastic sequences. Theory Probab. Math. Stat. 84. pp. 43--55.
5. Dudek, A., Hurd, H. and Wojtowicz, W. (2016) PARMA methods based on Fourier representation of periodic coefficients. Wiley Interdisciplinary Reviews: Computational Statistics. 8(3). pp. 130--149.
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献