Title :
A note on the prediction error for small time lags into the future (Corresp.)
fDate :
9/1/1985 12:00:00 AM
Abstract :
Explicit expressions are derived for derivatives at zero lag of the mean-square prediction error for a class of random processes that includes those with rational power spectra. A simple random process not in the class is demonstrated. A sufficient condition for membership in the class is given.
Keywords :
Extrapolation; Prediction methods; Differential equations; Electrical engineering; Error correction; Extrapolation; Filtering; Mathematics; Random processes; Sufficient conditions; Taylor series; Upper bound;
Journal_Title :
Information Theory, IEEE Transactions on
DOI :
10.1109/TIT.1985.1057093
