On Minimax Estimation Problems for Periodically Correlated Stochastic Processes
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arXiv
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| Format: | Preprint |
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2025
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| _version_ | 1866918213085822976 |
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| author | Dubovets'ka, Iryna Moklyachuk, Mykhailo |
| author_facet | Dubovets'ka, Iryna Moklyachuk, Mykhailo |
| contents | The aim of this article is to overview the problem of mean square optimal estimation of linear functionals which depend on unknown values of periodically correlated stochastic process. Estimates are based on observations of this process and noise. These problems are investigated under conditions of spectral certainty and spectral uncertainty. Formulas for calculating the main characteristics (spectral characteristic, mean square error) of the optimal linear estimates of the functionals are proposed. The least favorable spectral densities and the minimax-robust spectral characteristics of optimal estimates of the functionals are presented for given sets of admissible spectral densities. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2510_16906 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | On Minimax Estimation Problems for Periodically Correlated Stochastic Processes Dubovets'ka, Iryna Moklyachuk, Mykhailo Statistics Theory 60G10, 60G25, 60G35, 62M20, 93E10 The aim of this article is to overview the problem of mean square optimal estimation of linear functionals which depend on unknown values of periodically correlated stochastic process. Estimates are based on observations of this process and noise. These problems are investigated under conditions of spectral certainty and spectral uncertainty. Formulas for calculating the main characteristics (spectral characteristic, mean square error) of the optimal linear estimates of the functionals are proposed. The least favorable spectral densities and the minimax-robust spectral characteristics of optimal estimates of the functionals are presented for given sets of admissible spectral densities. |
| title | On Minimax Estimation Problems for Periodically Correlated Stochastic Processes |
| topic | Statistics Theory 60G10, 60G25, 60G35, 62M20, 93E10 |
| url | https://arxiv.org/abs/2510.16906 |