Adaptive energy-saving approximation for stationary processes

DOI10.1070/IM8840MaRDI QIDQ5241542zbMATH OpenFDO

Authors Zakhar Kabluchko, M. A. Lifshits

Publication date 31 October 2019

Published in Izvestiya: Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.01999

zbMATH Keywords

least-energy approximationpredictionstationary processstationary sequence

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15)

Abstract: We consider a stationary process (with either discrete or continuous time) and find an adaptive approximating stationary process combining approximation quality and supplementary good properties that can be interpreted as additional smoothness or small expense of energy. The problem is solved in terms of the spectral characteristics of the approximated process by using classical analytic methods from prediction theory.

Recommendations

• Least energy approximation for processes with stationary increments
• Some extensions of linear approximation and prediction problems for stationary processes
• On approximate recursive prediction of stationary stochastic processes
• scientific article; zbMATH DE number 2169023
• scientific article; zbMATH DE number 4213139

Cites work

• About the linear-quadratic regulator problem under a fractional Brownian perturbation
• scientific article; zbMATH DE number 3497161 (Why is no real title available?)
• scientific article; zbMATH DE number 1022658 (Why is no real title available?)
• scientific article; zbMATH DE number 3191538 (Why is no real title available?)
• scientific article; zbMATH DE number 3191539 (Why is no real title available?)
• Least energy approximation for processes with stationary increments
• On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation
• Some extensions of linear approximation and prediction problems for stationary processes
• Time series: theory and methods.

Cited in

(6)

• Energy of taut strings accompanying random walk
• Least energy approximation for processes with stationary increments
• Energy saving approximation of Wiener process under unilateral constraints
• Energy-efficient approximations of a Brownian sheet
• Energy-efficient pursuit of multidimensional Wiener processes
• An improvement of the energy function

This page was built for publication: Adaptive energy-saving approximation for stationary processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5241542)