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Minimax Estimation for Periodically Correlated Stochastic Processes

Published 15 Oct 2025 in math.ST and stat.TH | (2510.14033v1)

Abstract: 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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