Interpolation of functionals of stochastic sequences with stationary increments from observations with noise
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , |
|---|---|
| Format: | Preprint |
| Publié: |
2025
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866911234024013824 |
|---|---|
| author | Luz, Maksym Moklyachuk, Mykhailo |
| author_facet | Luz, Maksym Moklyachuk, Mykhailo |
| contents | The problem of optimal estimation of linear functional ${{A}_{N}}ξ=\sum\limits_{k=0}^{N}{a(k)ξ(k)}\,$ depending on the unknown values of a stochastic sequence $ξ(m)$ with stationary $n$-th increments from observations of the sequence $ξ(k)$ at points $k=-1,-2,\ldots $ and of the sequence $ξ(k)+η(k)$ at points of time $k=N+1,N+2,\ldots $ is considered. Formulas for calculating the mean square error and the spectral characteristic of the optimal linear estimate of the functional are proposed under condition of spectral certainty, where spectral densities of the sequences $ξ(m)$ and $η(m)$ are exactly known. Minimax (robust) method of estimation is applied in the case where the spectral densities are not known exactly while some sets of admissible spectral densities are given. Formulas that determine the least favorable spectral densities and the minimax spectral characteristics are proposed for some specific sets of admissible densities. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_22764 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Interpolation of functionals of stochastic sequences with stationary increments from observations with noise Luz, Maksym Moklyachuk, Mykhailo Statistics Theory 60G10, 60G25, 60G35, 62M20, 93E10 The problem of optimal estimation of linear functional ${{A}_{N}}ξ=\sum\limits_{k=0}^{N}{a(k)ξ(k)}\,$ depending on the unknown values of a stochastic sequence $ξ(m)$ with stationary $n$-th increments from observations of the sequence $ξ(k)$ at points $k=-1,-2,\ldots $ and of the sequence $ξ(k)+η(k)$ at points of time $k=N+1,N+2,\ldots $ is considered. Formulas for calculating the mean square error and the spectral characteristic of the optimal linear estimate of the functional are proposed under condition of spectral certainty, where spectral densities of the sequences $ξ(m)$ and $η(m)$ are exactly known. Minimax (robust) method of estimation is applied in the case where the spectral densities are not known exactly while some sets of admissible spectral densities are given. Formulas that determine the least favorable spectral densities and the minimax spectral characteristics are proposed for some specific sets of admissible densities. |
| title | Interpolation of functionals of stochastic sequences with stationary increments from observations with noise |
| topic | Statistics Theory 60G10, 60G25, 60G35, 62M20, 93E10 |
| url | https://arxiv.org/abs/2510.22764 |