Minimax Predictors for Signals Having a Bonded kth Derivative

D. W. Kelsey*, A. H. Haddad

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

Predictors are derived which minimize the maximum possible mean-squared prediction error for signals observed in white noise and having a bounded kth derivative. Expressions are given for the resulting worst-case error and a suboptimal solution is presented which, for the case k = 2, performs nearly as well as the optimal and is far easier to implement.

Original languageEnglish (US)
Pages (from-to)29-44
Number of pages16
JournalJournal of the Franklin Institute
Volume297
Issue number1
DOIs
StatePublished - Jan 1974

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Signal Processing
  • Computer Networks and Communications
  • Applied Mathematics

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