Ostapenko V. Estimates of functionals from harmonizable processes

Problems of extrapolation, interpolation and filtration are considered in two case, in the case of spectral certainty, where spectral densities of the observed sequences and processes are exactly known, and in the case of spectral uncertainty, where full information on densities is unavailable but the sets of admissible spectral densities are given. In the case of spectral certainty, formulas that determine the spectral characteristics and values of errors of estimates of functionals are obtained. In the case where the spectral densities are not known exactly while some sets of admissible spectral densities are given, formulas and relations that determine the least favorable spectral densities and the minimax (robust) spectral characteristics of the optimal estimates are found.