Mathematical Control Theory

Forecasting state of dynamic systems on the basis of their spectral characteristics

A. Ya. Andrienko, E. I. Tropova

Institute of Control Sciences of RAS

Abstract: The method is offered to construct estimates of spectral density of a stationary process on the basis of its realization of limited duration. Increase of accuracy of these estimates is achieved by the variation of the width of the spectral window in the function of supervision time and of the local characteristics of spectral density.

Keywords: random process, estimate of spectral density, Fourier transformation, spectral window.

UDC: 519.283
BBK: 22.171