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

DOI10.1007/BF02366512MaRDI QIDQ1364069zbMATH OpenOpenAlexFDO

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

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)

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• Computational suboptimal filter for a class of Wiener-Poisson driven stochastic processes
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