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)

Review text

The aim of the paper is to present some remarks on filtering and prediction theory of stationary processes. The first remark is a negative answer to a purely probabilistic question about some equalities of random variables in some given condition about the corresponding distributions. The second remark concerns the sum between a stationary real-valued stochastic process which represents the signal and a second process which represents some kind of additive noise. Introducing the notion of disjoint stationary processes, and assumption of integrability of these processes, one can almost surely filter out the noise. Here, the possibility of carrying this out in a unilateral way arises. The third remark concerns some questions about an unknown stationary process after observing the first \(n\) outputs. Expressing the ergodicity of a process as a series of conditions on the empirical distributions, some nice results on classifying some processes are obtained.

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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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