Linear interpolation of stationary processes from the signs of their derivatives

DOI10.1016/0016-0032(85)90012-2MaRDI QIDQ1063994zbMATH OpenOpenAlexFDO

Authors Julia Abrahams

Publication date 1985

Published in Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0016-0032(85)90012-2

zbMATH Keywords

derivativeserror estimationminimum mean squared error linear interpolatorNumerical resultssignsstationary Gaussian process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and prediction (62M20)

Review text

In this paper, the problem of reconstruction of a stationary Gaussian process from its sign and the signs of its derivatives is considered. The expressions for the minimum mean squared error linear interpolator and error estimation are given. Numerical results of some examples are evaluated.

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Cites work

• A Convenient Method for Generating Normal Variables
• Estimation of the Gauss-Markov process from observation of its sign
• Generalized Feedback Shift Register Pseudorandom Number Algorithm
• scientific article; zbMATH DE number 3304505 (Why is no real title available?)
• scientific article; zbMATH DE number 3320864 (Why is no real title available?)
• Reconstruction of a stationary Gaussian process from its sign-changes

Cited in

(8)

• An optimal linear interpolator for a class of stationary processes
• Uniform reconstruction of Gaussian processes
• Sign data derivative recovery
• Interpolation of complex stationary processes
• Estimation of the interpolation error variance and an index of linear determinism
• scientific article; zbMATH DE number 2064364 (Why is no real title available?)
• scientific article; zbMATH DE number 2143021 (Why is no real title available?)
• Estimation of number of the derivatives of a Gaussian process

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