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

DOI10.1007/BF02366512zbMATH Open0882.60038OpenAlexW4252783935MaRDI QIDQ1364069FDOQ1364069

Authors: V. D. Kudritskij, I. P. Atamanyuk 

Publication date: 18 February 1998

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

Full work available at URL: https://doi.org/10.1007/bf02366512

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zbMATH Keywords

predictionWiener filter-extrapolatornonstationary stochastic process

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Filtering in stochastic control theory (93E11) Prediction theory (aspects of stochastic processes) (60G25) Stochastic approximation (62L20) General second-order stochastic processes (60G12)

Cites Work

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Cited In (11)

• Functional estimation incorporating prior correlation information
• Wiener-Kolmogorov predicting for stationary processes
• Optimal linear extrapolation algorithm for realization of a vector random sequence observed without errors
• Optimal linear extrapolation of realizations of a stochastic process with error filtering in correlated measurements
• The Comparison of the Stochastic Algorithms for the Filter Parameters Calculation
• Algorithm to determine the optimal parameters of a polynomial Wiener filter-extrapolator for nonstationary stochastic processes observed with errors
• A mapping result between Wiener theory and Kalman filtering for nonstationary processes
• Computational suboptimal filter for a class of Wiener-Poisson driven stochastic processes
• Title not available (Why is that?)
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• Algorithm of extrapolation of a nonlinear random process on the basis of its canonical decomposition

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