Algorithm to determine the optimal parameters of a Wiener filter-extrapolator for nonstationary stochastic processes observed with errors

DOI10.1007/BF02366512zbMath0882.60038OpenAlexW4252783935MaRDI QIDQ1364069

I. P. Atamanyuk, V. D. Kudritskij

Publication date: 18 February 1998

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02366512

zbMATH Keywords

predictionWiener filter-extrapolatornonstationary stochastic process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) General second-order stochastic processes (60G12) Stochastic approximation (62L20) Prediction theory (aspects of stochastic processes) (60G25) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Algorithm to determine the optimal parameters of a polynomial Wiener filter-extrapolator for nonstationary stochastic processes observed with errors ⋮ Optimal linear extrapolation algorithm for realization of a vector random sequence observed without errors

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