Continuously discrete estimation of stochastic processes for observations with memory under anomalous noise

Synthesis

N. S. Demin, S. V. Rozhkova

Research output: Contribution to journalArticle

4 Citations (Scopus)

Abstract

An mean square optimal unbiased filter-interpolator-extrapolator for continuous-time processes is synthesized on the basis of the set of realizations of continuous and discrete time processes. It is supposed that these processes depend not only on the current values of an unobserved process, but on an arbitrary number of its preceding values as well; the extrapolation is performed at an arbitrary number of future instants, and anomalous noise occurs in discrete observations.

Original languageEnglish
Pages (from-to)335-346
Number of pages12
JournalJournal of Computer and Systems Sciences International
Volume39
Issue number3
Publication statusPublished - 2000

Fingerprint

Random processes
Extrapolation
Anomalous
Stochastic Processes
Synthesis
Data storage equipment
Discrete Observations
Arbitrary
Instant
Mean Square
Continuous Time
Discrete-time
Filter
Observation

ASJC Scopus subject areas

  • Artificial Intelligence
  • Computational Theory and Mathematics
  • Human-Computer Interaction
  • Control and Systems Engineering
  • Theoretical Computer Science

Cite this

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