Optimal linear extrapolation algorithm for realization of a vector random sequence observed without errors
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Publication:1280938
DOI10.1007/BF02742067zbMath0920.62115MaRDI QIDQ1280938
Publication date: 21 September 1999
Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)
Stochastic systems and control (93E99) Applications of statistics (62P99) Inference from stochastic processes (62M99)
Related Items (3)
Algorithm of Wiener filtering and extrapolation for nonstationary random processes observed with correlated errors ⋮ On the predictability of long-range dependent series ⋮ Optimal linear filtering and extrapolation of realizations of a vector random function observed with errors
Cites Work
- Algorithm to determine the optimal parameters of a Wiener filter-extrapolator for nonstationary stochastic processes observed with errors
- Optimal linear extrapolation of realizations of a stochastic process with error filtering in correlated measurements
- Necessary and sufficient conditions for contiguity and entire asymptotic separation of probability measures
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