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December, 1972 Error Formulae for Optimal Linear Filtering, Prediction and Interpolation of Stationary Time Series
Jakov Snyders
Ann. Math. Statist. 43(6): 1935-1943 (December, 1972). DOI: 10.1214/aoms/1177690864

Abstract

Several explicit expressions are presented for the minimum mean square error in linear causal filtering, prediction and interpolation of weakly stationary discrete-time processes corrupted by additive noise. A general procedure for deriving error expressions of this kind is established.

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Jakov Snyders. "Error Formulae for Optimal Linear Filtering, Prediction and Interpolation of Stationary Time Series." Ann. Math. Statist. 43 (6) 1935 - 1943, December, 1972. https://doi.org/10.1214/aoms/1177690864

Information

Published: December, 1972
First available in Project Euclid: 27 April 2007

zbMATH: 0255.60030
MathSciNet: MR353442
Digital Object Identifier: 10.1214/aoms/1177690864

Rights: Copyright © 1972 Institute of Mathematical Statistics

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Vol.43 • No. 6 • December, 1972
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