Filtering Problem for Functionals of Stationary Processes with Missing Observations
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arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
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2016
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| _version_ | 1866914672612999168 |
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| author | Moklyachuk, Mikhail Sidei, Maria |
| author_facet | Moklyachuk, Mikhail Sidei, Maria |
| contents | The problem of the mean-square optimal linear estimation of the functional $Aξ=\ \int\limits_{R^s}a(t)ξ(-t)dt,$ which depends on the unknown values of stochastic stationary process $ξ(t)$ from observations of the process $ξ(t)+η(t)$ at points $t\in\mathbb{R} ^{-} \backslash S $, $S=\bigcup\limits_{l=1}^{s}[-M_{l}-N_{l}, \, \ldots, \, -M_{l} ],$ $R^s=[0,\infty) \backslash S^{+},$ $S^{+}=\bigcup\limits_{l=1}^{s}[ M_{l}, \, \ldots, \, M_{l}+N_{l}]$ is considered. Formulas for calculating the mean-square error and the spectral characteristic of the optimal linear estimate of the functional are proposed under the condition of spectral certainty, where spectral densities of the processes $ξ(t)$ and $η(t)$ are exactly known. The minimax (robust) method of estimation is applied in the case where spectral densities are not known exactly, but sets of admissible spectral densities are given. Formulas that determine the least favorable spectral densities and minimax spectral characteristics are proposed for some special sets of admissible densities. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1609_01679 |
| institution | arXiv |
| publishDate | 2016 |
| record_format | arxiv |
| spellingShingle | Filtering Problem for Functionals of Stationary Processes with Missing Observations Moklyachuk, Mikhail Sidei, Maria Statistics Theory Probability 60G10, 60G25, 60G35, 62M20, 93E10, 93E11 The problem of the mean-square optimal linear estimation of the functional $Aξ=\ \int\limits_{R^s}a(t)ξ(-t)dt,$ which depends on the unknown values of stochastic stationary process $ξ(t)$ from observations of the process $ξ(t)+η(t)$ at points $t\in\mathbb{R} ^{-} \backslash S $, $S=\bigcup\limits_{l=1}^{s}[-M_{l}-N_{l}, \, \ldots, \, -M_{l} ],$ $R^s=[0,\infty) \backslash S^{+},$ $S^{+}=\bigcup\limits_{l=1}^{s}[ M_{l}, \, \ldots, \, M_{l}+N_{l}]$ is considered. Formulas for calculating the mean-square error and the spectral characteristic of the optimal linear estimate of the functional are proposed under the condition of spectral certainty, where spectral densities of the processes $ξ(t)$ and $η(t)$ are exactly known. The minimax (robust) method of estimation is applied in the case where spectral densities are not known exactly, but sets of admissible spectral densities are given. Formulas that determine the least favorable spectral densities and minimax spectral characteristics are proposed for some special sets of admissible densities. |
| title | Filtering Problem for Functionals of Stationary Processes with Missing Observations |
| topic | Statistics Theory Probability 60G10, 60G25, 60G35, 62M20, 93E10, 93E11 |
| url | https://arxiv.org/abs/1609.01679 |