Authors : Vladimir Alekseevich Golovkov
Abstract: In this study, I consider models of stochastic process correlation functions and, by way of numerical calculation, prove that the efficiency of optimal linear interpolation and forecasting is determined by the existing highest derivative of a stochastic process. I also set out the results of numerical calculations pertaining to efficiency assessment of interpolation and forecasting of finitely differentiable stochastic processes with correlation functions commonly used in practice for Wiener-Hopf filtering.
Vladimir Alekseevich Golovkov , 2017. Models of Stohastic Processes and Their use in Optimal Linear Inteprolation and Forecasting. International Journal of Signal System Control and Engineering Application, 10: 113-116.