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)|
|Number of pages||2|
|State||Published - Dec 1 1984|
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