Error Formulae for Optimal Linear Filtering, Prediction and Interpolation of Stationary Time Series
Snyders, Jakov
Ann. Math. Statist., Tome 43 (1972) no. 6, p. 1935-1943 / Harvested from Project Euclid
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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.
Publié le : 1972-12-14
Classification:  
@article{1177690864,
     author = {Snyders, Jakov},
     title = {Error Formulae for Optimal Linear Filtering, Prediction and Interpolation of Stationary Time Series},
     journal = {Ann. Math. Statist.},
     volume = {43},
     number = {6},
     year = {1972},
     pages = { 1935-1943},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177690864}
}

Snyders, Jakov. Error Formulae for Optimal Linear Filtering, Prediction and Interpolation of Stationary Time Series. Ann. Math. Statist., Tome 43 (1972) no. 6, pp.  1935-1943. http://gdmltest.u-ga.fr/item/1177690864/