Detection and prediction of a stochastic process having multiple hypotheses

D. W. Kelsey; Abraham Herzl Haddad

doi:10.1109/CDC.1971.4044823

Detection and prediction of a stochastic process having multiple hypotheses

D. W. Kelsey, Abraham Herzl Haddad

Electrical and Computer Engineering

Research output: Contribution to journal › Conference article › peer-review

Abstract

A system is proposed which combines hypothesis testing and prediction to estimate the future value of a stochastic process whose statistics are known only to belong to some finite set of possible hypotheses. Bayes optimization of the individual components is performed and system performance is discussed for a modified version of the usual mean-squared error predictor cost functions. An example is given illustrating various features of the system's performance for a specific choice of input hypotheses.

Original language	English (US)
Article number	4044823
Pages (from-to)	552-556
Number of pages	5
Journal	Proceedings of the IEEE Conference on Decision and Control
DOIs	https://doi.org/10.1109/CDC.1971.4044823
State	Published - 1971
Event	1971 IEEE Conference on Decision and Control, CDC 1971 - Including the 10th Symposium on Adaptive Process - Miami Beach, United States Duration: Dec 15 1971 → Dec 17 1971

ASJC Scopus subject areas

Control and Systems Engineering
Modeling and Simulation
Control and Optimization

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10.1109/CDC.1971.4044823

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title = "Detection and prediction of a stochastic process having multiple hypotheses",

abstract = "A system is proposed which combines hypothesis testing and prediction to estimate the future value of a stochastic process whose statistics are known only to belong to some finite set of possible hypotheses. Bayes optimization of the individual components is performed and system performance is discussed for a modified version of the usual mean-squared error predictor cost functions. An example is given illustrating various features of the system's performance for a specific choice of input hypotheses.",

author = "Kelsey, {D. W.} and Haddad, {Abraham Herzl}",

note = "Funding Information: *This work was supported by the Joint Services Electronics Program under contract DAAB-07-67- Publisher Copyright: {\textcopyright} 1971 IEEE.; 1971 IEEE Conference on Decision and Control, CDC 1971 - Including the 10th Symposium on Adaptive Process ; Conference date: 15-12-1971 Through 17-12-1971",

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AU - Haddad, Abraham Herzl

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AB - A system is proposed which combines hypothesis testing and prediction to estimate the future value of a stochastic process whose statistics are known only to belong to some finite set of possible hypotheses. Bayes optimization of the individual components is performed and system performance is discussed for a modified version of the usual mean-squared error predictor cost functions. An example is given illustrating various features of the system's performance for a specific choice of input hypotheses.

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JO - Proceedings of the IEEE Conference on Decision and Control

JF - Proceedings of the IEEE Conference on Decision and Control

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T2 - 1971 IEEE Conference on Decision and Control, CDC 1971 - Including the 10th Symposium on Adaptive Process

Y2 - 15 December 1971 through 17 December 1971

ER -

Detection and prediction of a stochastic process having multiple hypotheses

Abstract

ASJC Scopus subject areas

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