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

DOI10.1007/S10559-011-9312-8zbMath1302.65036OpenAlexW2056854775MaRDI QIDQ464892

I. P. Atamanyuk

Publication date: 30 October 2014

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

Full work available at URL: https://doi.org/10.1007/s10559-011-9312-8

zbMATH Keywords

stochastic processoptimal extrapolation algorithmWiener filter-extrapolator

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) General theory of stochastic processes (60G07)

Cites Work

• Algorithm to determine the optimal parameters of a Wiener filter-extrapolator for nonstationary stochastic processes observed with errors
• Algorithm of extrapolation of a nonlinear random process on the basis of its canonical decomposition
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