### Abstract

For a given stationary second-order random process with spectral density sigma , the MSE in predicting X//k// plus //p using a time-invariant linear filter with transfer function H is given by an integral equation. The predictors resulting from the formulation often exhibit performance insensitivity with respect to spectral variations within S, and they are thus termed robust predictors.

Original language | English (US) |
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Pages | 17-18 |

Number of pages | 2 |

State | Published - Dec 1 1984 |

Externally published | Yes |

### All Science Journal Classification (ASJC) codes

- Engineering(all)

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## Cite this

Poor, H. V. (1984).

*ROBUST PREDICTION AND ARMA MODELS.*. 17-18.