Extrapolation of transformations of random processes perturbed by white noise |
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Authors: | M. P. Moklyachuk |
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Affiliation: | (1) Kiev University, USSR |
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Abstract: | We consider the problem of linear mean square optimal estimation of transformation of a stationary random process (t) in observations of process (t) + n(t) for t < – 0, where (t) is white noise uncorrelated with (t). We find least favorable spectral densities f0()D and minimax (robust) spectral characteristics of an optimal estimator of transformation A for various classesD of densities.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 43, No. 2, pp. 216–223, February, 1991. |
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