Non Stationary Stochastic Processes Estimation is popular PDF and ePub book, written by Maksym Luz in 2024-05-20, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Non Stationary Stochastic Processes Estimation can be Read Online from any device for your convenience.
Non Stationary Stochastic Processes Estimation Book PDF Summary
The problem of forecasting future values of economic and physical processes, the problem of restoring lost information, cleaning signals or other data observations from noise, is magnified in an information-laden word. Methods of stochastic processes estimation depend on two main factors. The first factor is construction of a model of the process being investigated. The second factor is the available information about the structure of the process under consideration. In this book, we propose results of the investigation of the problem of mean square optimal estimation (extrapolation, interpolation, and filtering) of linear functionals depending on unobserved values of stochastic sequences and processes with periodically stationary and long memory multiplicative seasonal increments. Formulas for calculating the mean square errors and the spectral characteristics of the optimal estimates of the functionals are derived in the case of spectral certainty, where spectral structure of the considered sequences and processes are exactly known. In the case where spectral densities of the sequences and processes are not known exactly while some sets of admissible spectral densities are given, we apply the minimax-robust method of estimation.
Detail Book of Non Stationary Stochastic Processes Estimation PDF
- Author : Maksym Luz
- Release : 20 May 2024
- Publisher : Walter de Gruyter GmbH & Co KG
- ISBN : 9783111325620
- Genre : Business & Economics
- Total Page : 310 pages
- Language : English
- PDF File Size : 21,8 Mb
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