Estimation of Stochastic Processes with Missing Observations

£152.99 £203.99

Estimation of Stochastic Processes with Missing Observations

Name: Estimation of Stochastic Processes with Missing Observations
Brand: Nova Science Publishers, Inc
Price: 152.99 GBP
Availability: OutOfStock

Written by Mikhail Moklyachuk, Maria Sidei and Oleksandr Masyutka

£152.99 £203.99

Out of stock

We propose results of the investigation of the problem of mean square optimal estimation of linear functionals constructed from unobserved values of stationary stochastic processes. Estimates are based on observations of the processes with additive stationary noise process. The aim of the book is to develop methods for finding the optimal estimates of the functionals in the case where some observations are missing. Formulas for computing values of the mean-square errors and the spectral characteristics of the optimal linear estimates of functionals are derived in the case of spectral certainty, where the spectral densities of the processes are exactly known. The minimax robust method of estimation is applied in the case of spectral uncertainty, where the spectral densities of the processes are not known exactly while some classes of admissible spectral densities are given. The formulas that determine the least favourable spectral densities and the minimax spectral characteristics of the optimal estimates of functionals are proposed for some special classes of admissible densities.

Mikhail Moklyachuk, D.Sci. Professor, Department of Probability Theory, Statistics and Actuarial Mathematics,Taras Shevchenko National University of Kyiv, Ukraine

ISBN-13: 9781536158908
Publisher: Nova Science Publishers, Inc
Imprint: Nova Science Publishers, Inc
Publication date: 10 July 2019
Format: Hardback
Pages: 334
Dimensions: 230 x 155 mm
Language: English