Linear Prediction on a Finite Past of a Multivariate Stationary Process

Download or read book Linear Prediction on a Finite Past of a Multivariate Stationary Process written by Ray G. Langebartel and published by . This book was released on 1966 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: An overview is given of multivariate, wide-sense, stationary, stochastic process, linear prediction theory with emphasis on the mean square error of prediction based on a finite past. Examples of several different types of processes are examined with specific formulas for the prediction errors obtained in some cases. A discussion is given concerning the effect on the prediction error of basing the prediction on a subprocess of the given process instead of on the entire original process.