Conference Proceedings

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

Abstract

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.

University of Melbourne Researchers