ROBUST PREDICTION AND ARMA MODELS.

H. Vincent Poor

ROBUST PREDICTION AND ARMA MODELS.

H. Vincent Poor

Research output: Contribution to conference › Paper › peer-review

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	American English
Pages	17-18
Number of pages	2
State	Published - 1984
Externally published	Yes

ASJC Scopus subject areas

General Engineering

Cite this

@conference{cd809554b89a48e6875938bdc0346016,

title = "ROBUST PREDICTION AND ARMA MODELS.",

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.",

author = "Poor, \{H. Vincent\}",

year = "1984",

language = "American English",

pages = "17--18",

}

TY - CONF

T1 - ROBUST PREDICTION AND ARMA MODELS.

AU - Poor, H. Vincent

PY - 1984

Y1 - 1984

N2 - 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.

AB - 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.

UR - https://www.scopus.com/pages/publications/0021547428

UR - https://www.scopus.com/pages/publications/0021547428#tab=citedBy

M3 - Paper

SP - 17

EP - 18

ER -

ROBUST PREDICTION AND ARMA MODELS.

Abstract

ASJC Scopus subject areas

Other files and links

Fingerprint

Cite this