Performance comparison of adaptive and robust predictors for long range dependent signals
RK Boel, IMY Mareels, MR James
PROCEEDINGS OF THE 39TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-5 | IEEE | Published : 2000
In the context of long range dependent processes we compare robust and adaptive prediction/filtering. The intuitive observation that adaptation achieves optimality asymptotically and outperforms in the long run robust filtering is quantified through the estimation of convergence rates and levels of achievable performance.