Interpolation problem for periodically correlated stochastic sequences with missing observations

02/08/2020

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by   Iryna Golichenko, et al.

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The problem of mean square optimal estimation of linear functionals which depend on the unobserved values of a periodically correlated stochastic sequence is considered. The estimates are based on observations of the sequence with a noise. Formulas for calculation the mean square errors and the spectral characteristics of the optimal estimates of functionals are derived in the case of spectral certainty, where the spectral densities of the sequences are exactly known. Formulas that determine the least favorable spectral densities and the minimax spectral characteristics are proposed in the case of spectral uncertainty, where the spectral densities of the sequences are not exactly known while some classes of admissible spectral densities are specified.