Model prediction
Linear optimal prediction
Starting from an $ARMA$ process $y(t)=W(z)e(t)=\frac{C(z)}{A(z)}e(t)$, wehere $e(t) \sim WN(0,\la...
Linear predictors from noise
Starting from an $ARMA$ process $y(t)=W(z)e(t)=\frac{C(z)}{A(z)}e(t)$, wehere $e(t) \sim WN(0,\la...
Long k-step division method
The steady state solution of an $ARMA$ process can be obtained with a long k-step division of $C(...
Linear predictor from output
In the real world we cannot measur the white noise, the only aviable information is the values of...
Prediction of non zero mean ARMA
Starting from an $ARMA$ process $y(t)=W(z)e(t)=\frac{C(z)}{A(z)}e(t)$, wehere $e(t) \sim WN(\mu,\...
ARMAX predictors
Starting from an $ARMAX$ process $y(t)=\frac{B(z)}{A(z)}u(t-d)+\frac{C(z)}{A(z)}e(t)$, wehere $e(...