3 papers
math.ST2024
Filtering of stochastic processes having periodically correlated increments
Maksym Luz, Mikhail Moklyachuk
We deal with the problem of the mean square optimal estimation of linear transformations of the unobserved values of a continuous time stochastic process with periodically correlat…
math.ST2023
Filtering problem for sequences with periodically stationary multiseasonal increments with spectral densities allowing canonical factorizations
Maksym Luz, Mikhail Moklyachuk
We consider a stochastic sequence with periodically stationary generalized multiple increments of fractional order which combines cyclostationary, multi-seasonal, integrated…
math.ST2023
Estimation problem for continuous time stochastic processes with periodically correlated increments
Maksym Luz, Mikhail Moklyachuk
We deal with the problem of optimal estimation of the linear functionals constructed from unobserved values of a continuous time stochastic process with periodically correlated inc…