Linear filtration methods for statistical analysis of periodically correlated random processes-Part I: Coherent and component methods and their generalization

  • Authors:

  • I. Javorskyj;J. Lekow;I. Kravets;I. Isayev;E. Gajecka

  • Affiliations:

  • Karpenko Physico-Mechanical Institute of the National Academy of Sciences of Ukraine, Naukova St. 5, 79601 L'viv, Ukraine and Institute of Telecommunications, University of Technology and Life Sci ...;The Graduate School of Business WSB-NLU, Department of Econometrics, Zielona 27 A, Apt. 5, 33-300 Nowy Sacz, Poland;Karpenko Physico-Mechanical Institute of the National Academy of Sciences of Ukraine, Naukova St. 5, 79601 L'viv, Ukraine;Karpenko Physico-Mechanical Institute of the National Academy of Sciences of Ukraine, Naukova St. 5, 79601 L'viv, Ukraine;The State Higher Vocational School in Nowy Sacz, Department of Economics, Staszica 1, 33-300 Nowy Sacz, Poland

  • Venue:
  • Signal Processing
  • Year:
  • 2012

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Abstract

Coherent and component methods for mean and covariance function estimation are analyzed using linear filtration theory. The relationships between variances and biases of the estimates and transfer function of analogue linear filter are determined. On the basis of derived equations the comparison of both techniques are done. The method for obtaining the minimum period-averaged variance estimates is given.