On MMSE Approximations of Stationary Time Series

On MMSE Approximations of Stationary Time Series

In a large number of applications arising in various fields of study, time series are approximated using linear MMSE estimates. Such approximations include finite order moving average and autoregressive approximations as well as the causal Wiener filter. In this dissertation, we study two topics re...

Full description

Bibliographic Details
Main Author: Datta Gupta, Syamantak
Language:en
Published: 2014
Subjects:
autoregressive estimates
linear estimation
Wiener filter
Granger causality
directed information
spectral density
time average variance constant
sparse recovery
cyclostationary process
wide sense stationary
Online Access:http://hdl.handle.net/10012/8143

Internet

http://hdl.handle.net/10012/8143

Similar Items