TY - GEN
T1 - The error variance of the optimal linear smoother and maximum-variance fractional pole models
AU - Georgiou, Tryphon T.
PY - 2006
Y1 - 2006
N2 - The variance of the optimal one-step ahead linear prediction error of a discrete-time stationary stochastic process is given by the well-known Szegö-Kolmogorov formula as the geometric mean of the spectral density function. We first derive an analogous expression for the optimal linear smoother which uses the infinite past and the infinite future to determine the present. The least variance turns out to be the harmonic mean of the spectral density function. Building on this, we explore the question of what is the most random power spectrum in the sense of corresponding to the largest variance optimal linear smoother (i.e., least "smoothable"), which is consistent with finitely many covariance moments. It turns out that it can be described by an all-pole model, albeit the poles are fractional.
AB - The variance of the optimal one-step ahead linear prediction error of a discrete-time stationary stochastic process is given by the well-known Szegö-Kolmogorov formula as the geometric mean of the spectral density function. We first derive an analogous expression for the optimal linear smoother which uses the infinite past and the infinite future to determine the present. The least variance turns out to be the harmonic mean of the spectral density function. Building on this, we explore the question of what is the most random power spectrum in the sense of corresponding to the largest variance optimal linear smoother (i.e., least "smoothable"), which is consistent with finitely many covariance moments. It turns out that it can be described by an all-pole model, albeit the poles are fractional.
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U2 - 10.1109/cdc.2006.377324
DO - 10.1109/cdc.2006.377324
M3 - Conference contribution
AN - SCOPUS:39649091153
SN - 1424401712
SN - 9781424401710
T3 - Proceedings of the IEEE Conference on Decision and Control
SP - 1685
EP - 1691
BT - Proceedings of the 45th IEEE Conference on Decision and Control 2006, CDC
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 45th IEEE Conference on Decision and Control 2006, CDC
Y2 - 13 December 2006 through 15 December 2006
ER -