Minimax filtration of linear transformations of stationary consequences

• Date: 1991
• Main Authors: Moklyachuk , M. P., Моклячук , М. П.
• Format: Article
• Language: Russian
• Published: Institute of Mathematics, NAS of Ukraine 1991
• Online Access: https://umj.imath.kiev.ua/index.php/umj/article/view/9310
• Journal Title: Ukrains’kyi Matematychnyi Zhurnal

We will consider the problem of determining a linear, mean-square optimal estimate of the transformation $A\xi = \sum_{j=0}^{\infty}a(j)\xi(-j)$  of a stationary random sequence $\xi(k)$ with density $f (\lambda)$ from observations of the sequence $\xi(k)+\eta(k)$ with $k\leq 0$, where $\eta(k)$ is...