DocumentCode :
1558831
Title :
Performance of discrete-time predictors of continuous-time stationary processes
Author :
Cambanis, Stamatis ; Masry, Elias
Author_Institution :
Dept. of Stat., North Carolina Univ., Chapel Hill, NC, USA
Volume :
34
Issue :
4
fYear :
1988
fDate :
7/1/1988 12:00:00 AM
Firstpage :
655
Lastpage :
668
Abstract :
The asymptotic performance of linear predictors of continuous-time stationary processes is studied from observations at n sampling instants on a fixed observation interval. Both optimal and simpler choices of predictor coefficients are considered, using uniform sampling as well as nonuniform sampling tailored to the statistics of the process under prediction. The focus is on stationary processes with rational spectral densities and the asymptotic performance for cases with and without a quadratic-mean derivatives is obtained. The analytical results are supplemented by numerical examples depicting small- and large-sample-size performance
Keywords :
discrete time systems; filtering and prediction theory; asymptotic performance; continuous-time stationary processes; discrete-time predictors; linear predictors; nonuniform sampling; quadratic-mean derivatives; rational spectral densities; uniform sampling; Convergence; Detectors; H infinity control; Information theory; Nonlinear filters; Nonuniform sampling; Performance analysis; Sampling methods; Statistics;
fLanguage :
English
Journal_Title :
Information Theory, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9448
Type :
jour
DOI :
10.1109/18.9766
Filename :
9766
Link To Document :
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