Nonlinear extrapolation algorithm for realization of a scalar random process

DOI10.1023/A:1015535914123MaRDI QIDQ1407341zbMATH OpenOpenAlexFDO

Authors V. D. Kudritskij

Publication date 16 September 2003

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

Full work available at URL https://doi.org/10.1023/a:1015535914123

zbMATH Keywords

construction of an extrapolation algorithmlinear and nonlinear extrapolation algorithmsPugachev canonical decompositionscalar random process

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Probabilistic models, generic numerical methods in probability and statistics (65C20) Estimation and detection in stochastic control theory (93E10)

Review text

The author proposes an algorithm whose purpose is to increase the accuracy of extrapolation of realization of a stochastic process taking into account nonlinear random dependencies that exist in an investigated process and are described by mixed central moment functions. As an example, the problem of nonlinear extrapolation is solved for a moment function of third order. The method is based on Pugachev canonical decomposition apparatus. Comparison results for error estimates of nonlinear and linear extrapolation procedures are presented and advantages of the first one are demonstrated.

Recommendations

• Algorithm of extrapolation of a nonlinear random process on the basis of its canonical decomposition
• scientific article; zbMATH DE number 802857
• scientific article; zbMATH DE number 3896013
• On extrapolation in some non-linear ar(1) processes
• scientific article; zbMATH DE number 4068142
• Nonlinear Approximation of Random Functions
• Solution of the extrapolation problem for a class of stochastic processes

Cited in

(7)

• A method for efficient computation of optimal estimates in the extrapolation of solutions of nonlinear evolutionary differential equations in a Hilbert space. II
• Optimal linear extrapolation algorithm for realization of a vector random sequence observed without errors
• Influence of errors of measurements on the precision of linear extrapolation of realizations of a stochastic process
• Algorithm of extrapolation of a nonlinear random process on the basis of its canonical decomposition
• scientific article; zbMATH DE number 3874569 (Why is no real title available?)
• scientific article; zbMATH DE number 3896013 (Why is no real title available?)
• scientific article; zbMATH DE number 3972038 (Why is no real title available?)

This page was built for publication: Nonlinear extrapolation algorithm for realization of a scalar random process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1407341)