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.
ASJC Scopus subject areas
- Control and Systems Engineering
- Signal Processing
- Computer Networks and Communications
- Applied Mathematics