On universal linear prediction of Gaussian data

Suleyman S. Kozat, Andrew C. Singer

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In this paper, we derive some of the stochastic properties of a universal linear predictor, through analyses similar to those generally made in the adaptive signal processing literature. A. C. Singer et al. (see IEEE Trans. Signal Proc., vol.47, no.10, p.2685-2700, Oct. 1999) introduced a predictor whose sequentially accumulated mean squared error for any bounded individual sequence was shown to be as small as that for any linear predictor of order less than some maximum order m. For stationary Gaussian time series, we generalize these results, and remove the boundedness restriction. In this paper we show that the learning curve of this universal linear predictor is dominated by the learning curve of the best order predictor used in the algorithm.

Original languageEnglish (US)
Title of host publicationSignal Processing Theory and Methods I
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages13-16
Number of pages4
ISBN (Electronic)0780362934
DOIs
StatePublished - Jan 1 2000
Event25th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2000 - Istanbul, Turkey
Duration: Jun 5 2000Jun 9 2000

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Volume1
ISSN (Print)1520-6149

Other

Other25th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2000
CountryTurkey
CityIstanbul
Period6/5/006/9/00

ASJC Scopus subject areas

  • Software
  • Signal Processing
  • Electrical and Electronic Engineering

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