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 - Jan 1 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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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.",

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