Stochastic Systems

An algorithm for nonlinear extrapolation of a random process with the use of canonical representation

V. D. Kudritskii

Kiev

Abstract: A nonlinear algorithm is proposed for solution of the problem of extrapolating a random process in a computer by statistical modeling which minimizes the mean square prediction error. Some results from an experimental study of the properties of the algorithm are given.

UDC: 519.25


Received: 23.05.1977

 English version: Automation and Remote Control, 1978, 39:5, 651–658

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