DocumentCode :
854638
Title :
A simple formula for optimal ARMAX predictors
Author :
Kwong, R.H.
Author_Institution :
University of Toronto, Toronto, Ontario, Canada
Volume :
32
Issue :
12
fYear :
1987
fDate :
12/1/1987 12:00:00 AM
Firstpage :
1115
Lastpage :
1116
Abstract :
The coefficients of the optimal steady-state 
-step ahead predictor for a scalar ARMAX process in general depend on . It is shown that a simple formula completely characterizes all these coefficients. This extends previous results on the characterization of ARMA predictors.
-step ahead predictor for a scalar ARMAX process in general depend on . It is shown that a simple formula completely characterizes all these coefficients. This extends previous results on the characterization of ARMA predictors.Keywords :
Autoregressive moving-average processes; Autoregressive processes; Equations; Frequency estimation; Instruments; Parameter estimation; Recursive estimation; Signal processing algorithms; Speech processing; State estimation; Steady-state;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.1987.1104515
Filename :
1104515
Link To Document :
