Filtration of linear functionals of periodically correlated sequences
Filtration of linear functionals of periodically correlated sequences
The problem of the optimal estimation is considered for the linear functional \[ A{\zeta }=\sum _{j=0}^\infty {a}(j){\zeta }(-j) \] that depends on unknown values of a periodically correlated stochastic sequence $\zeta (j)$; the estimator is constructed from observations of the sequence $\zeta (j)+\theta (j)$, $j\leq 0$, where $\theta (j)$ is …