A State-Space Approach to Optimal Level-Crossing Prediction for Linear Gaussian Processes

DOI10.1109/TIT.2010.2059930MaRDI QIDQ5281262zbMATH OpenOpenAlexFDO

Authors Rodney A. Martin

Publication date 27 July 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.2010.2059930

Mathematics Subject Classification ID

Gaussian processes (60G15) Prediction theory (aspects of stochastic processes) (60G25) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Cited in

(4)

• Optimal prediction of level crossings in Gaussian processes and sequences
• Optimal level-crossing prediction for jump linear MIMO dynamical systems
• Errata for “A State-Space Approach to Optimal Level-Crossing Prediction for Linear Gaussian Processes” [Oct 10 5083-5096]
• Extreme value analysis of optimal level-crossing prediction for linear Gaussian processes

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