ROBUST PREDICTION AND ARMA MODELS.

Research output: Contribution to conferencePaper

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 languageEnglish (US)
Pages17-18
Number of pages2
StatePublished - Dec 1 1984
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Engineering(all)

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