Models of Random Processes and Their Particular Application in the Optimum Linear Interpolation and Forecasting

Models of correlation functions of random processes are considered. Numerical methods show that efficiency of the optimum linear interpolation and forecasting is defined by higher derivative of random processes. The results of numerical calculations of the interpolation and forecasting efficiency of random processes differentiated finitely many with some correlation function at Wiener filtration are given.

Authors: V. A. Golovkov

Direction: Радиотехнические средства передачи, приема и обработки сигналов

Keywords: Random process, differentiability, Wiener–Hopf filter, forecasting, interpolation

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