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Filtering Problem for Functionals of Stationary Sequences
Maksym Luz, Mikhail Moklyachuk
The problem of the mean-square optimal linear estimation of functionals which depend on the unknown values of a stationary stochastic sequence from observations of the sequence wit…
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…