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Linear-spline estimation of the correlation function of a stationary random process

  • Mathematics Processing Of Physics Experimental Data
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Abstract

Estimation of the correlation function of a stationary random process in measurements made at random times is discussed. The estimate is taken in the form of a first-order spline with uniform node distribution. Analytic formulas are derived for the rms error of estimation of the correlation function.

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References

  1. T. W. Anderson, Statistical Analysis of Time Series, Wiley, 1971.

  2. T. M. Kulikova and A. F. Terpugov, "Distribution of microprocessor control systems and local computer networks," Materials of All-Union Scientific and Technical Conference [in Russian], Izd-vo TGU, Tomsk (1991), pp. 149–151.

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Authors and Affiliations

  1. Tomsk State University, USSR

    T. M. Kulikova

Authors
  1. T. M. Kulikova
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Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Fizika, No. 4, pp. 23–29, April, 1996.

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Kulikova, T.M. Linear-spline estimation of the correlation function of a stationary random process. Russ Phys J 39, 308–314 (1996). https://doi.org/10.1007/BF02068051

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  • DOI: https://doi.org/10.1007/BF02068051

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