Optimal predictor for a singular random process

DOI10.1016/0167-6911(89)90082-0zbMath0685.93067OpenAlexW2093839789MaRDI QIDQ1262286

Maciej W. Rogoziński

Publication date: 1989

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(89)90082-0

zbMATH Keywords

optimal predictorwhite noise sequencesingular random process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

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• Dynamic system identification. Experiment design and data analysis
• Generalized predictive control. I: The basic algorithm
• Long-range predictive control - closed-loop system analysis
• A simple formula for optimal ARMAX predictors
• A self-tuning predictor for a class of multivariable stochastic processes
• A solution to the matrix factorization problem
• The Identification Problem for Multiple Equation Systems with Moving Average Errors

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