LAP Lambert Academic Publishing ( 20120806 )
€ 79,00
Description of methods of estimation of linear functionals of the unknown values of vectorvalued stationary stochastic sequences and processes is presented. Extrapolation, interpolation and filtering problems are investigated. Two main approaches to solution of the estimation problems are developed. The first one, the spectral certainty case, is based on the assumption that matrices of spectral densities of stochastic sequences and processes are known exactly. In this case we derived formulas for calculation the spectral characteristics and meansquare errors of the optimal estimates of the functionals which determine the extrapolation, interpolation and filtering problems for stochastic sequences and processes. The second one, the case of spectral uncertainty, is based on assumption that matrices of spectral densities of the processes are not known exactly, but, instead, classes of admissible values of spectral densities are specified. These classes of densities describe different models of vectorvalued stationary stochastic processes.
Book Details: 

ISBN13: 
9783659198175 
ISBN10: 
365919817X 
EAN: 
9783659198175 
Book language: 
English 
By (author) : 
Mikhail Moklyachuk 
Number of pages: 
296 
Published on: 
20120806 
Category: 
Theory of probability, stochastics, mathematical statistics 