Abstract
Method of optimal nonlinear extrapolation of a random sequence provided that the measurements are carried out with an error is developed using the apparatus of canonical expansions. Filter-extrapolator does not impose any essential limitations on the class of predictable random sequences (linearity, Markovian behavior, stationarity, monotony etc.) that allows to achieve maximum accuracy of the solution of a prediction problem. The results of a numerical experiment on a computer confirmed high effectiveness of the introduced method of the prediction of the realizations of random sequences. Expression for a mean-square error of extrapolation allows to estimate the quality of a prediction problem solving using a developed method. The method can be used in different spheres of science and technics for the prediction of the parameters of stochastic objects.
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Atamanyuk, I., Shebanin, V., Kondratenko, Y., Havrysh, V., Volosyuk, Y. (2019). Method of an Optimal Nonlinear Extrapolation of a Noisy Random Sequence on the Basis of the Apparatus of Canonical Expansions. In: Chertov, O., Mylovanov, T., Kondratenko, Y., Kacprzyk, J., Kreinovich, V., Stefanuk, V. (eds) Recent Developments in Data Science and Intelligent Analysis of Information. ICDSIAI 2018. Advances in Intelligent Systems and Computing, vol 836. Springer, Cham. https://doi.org/10.1007/978-3-319-97885-7_32
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DOI: https://doi.org/10.1007/978-3-319-97885-7_32
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