Some remarks on filtering and prediction of stationary processes

DOI10.1007/BF02772546MaRDI QIDQ814145zbMATH OpenFDO

Authors Benjamin Weiss

Publication date 6 February 2006

Published in Israel Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02772546

zbMATH Keywords

disjointnessentropyergodic processMarkov chains

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Inference from stochastic processes and prediction (62M20)

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Cites work

• A topological criterion for hypothesis testing
• Coding theorems for individual sequences
• Disjointness in ergodic theory, minimal sets, and a problem in diophantine approximation
• Entropy and data compression schemes
• Ergodic theory on compact spaces
• How sampling reveals a process
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• Nonparametric entropy estimation for stationary processes and random fields, with applications to English text
• On classifying processes
• On Stochastic Processes Derived From Markov Chains
• Stationary Processes and Prediction Theory. (AM-44)
• Strongly consistent code-based identification and order estimation for constrained finite-state model classes
• The consistency of the BIC Markov order estimator.

Cited in

(6)

• Perfect filtering and double disjointness
• Testing stationary processes for independence
• On universal algorithms for classifying and predicting stationary processes
• The predictability of band-limited, high-frequency and mixed processes in the presence of ideal low-pass filters
• On the Filtering Problem for Stationary Random<tex>$BBZ^2$</tex>-Fields
• A note on Furstenberg's filtering problem

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