First of all we indicate some conditions which are necessary for solving the considered problem

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- The theory of estimation of the unknown values of stationary processes based on a set of observations plays an important role in many practical applications
- The development of the theory started from the classical works of Kolmogorov and Wiener, in which they presented methods of solution of the extrapolation and interpolation problems for stationary processes
- The interpolation problem considered by Kolmogorov means estimation of the missed values of a stochastic sequence
- Estimates are based on observations of the sequence ξ(m) + η(m) at points of time m = −1, −2, . . . , where η(m) is an uncorrelated with ξ(m) stationary sequence
- The obtained results are applied to finding solution to the extrapolation problem for cointegrated sequences
- F 0(λ) = min max α1 rμ,g(e−iλ) 2 − λ2ng(λ), v(λ) u(λ) from the class Dvu is the least favorable spectral density for the optimal linear estimation of the functional

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