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Minimax Estimation for Periodically Correlated Stochastic Processes
Published: October 15, 2025 |
arXiv ID: 2510.14033v1
By: Iryna Dubovets'ka, Mykhailo Moklyachuk
Potential Business Impact:
Finds best guesses for hidden patterns in repeating signals.
Business Areas:
Risk Management
Professional Services
The problem of optimal linear estimation of functional depending on the unknown values of periodically correlated stochastic process from observations of this process for is considered. Formulas that determine the least favorable processes and the minimax estimation for functional are proposed for the given class of admissible processes.
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Page Count
4 pages
Category
Mathematics:
Statistics Theory