A physical basis for Krein's prediction formula

Brian D. O. Anderson

Stochastic Processes and their Applications, 1983, vol. 15, issue 2, 133-154

Abstract: A prediction problem of the following variety is considered. A stationary random process w(·) of known spectrum is observed over t[less-than-or-equals, slant]a. Using these observed values, w(b) is to be predicted for some b with b>a. We present a physical interpretation of a solution to this problem due to Krein, which used the theory of inverse Sturm-Liouville problems. Our physical model involves a nonuniform lossless transmission line excited at one end by white noise. The signal at the other end is the process w(t), and the prediction is found by calculating as intermediate quantities the voltage and current stored on the line at t=0. These quantities are spatially uncorrelated and provide a spatial representation at t=0 of the innovations of w(t) over t[less-than-or-equals, slant]a.

Keywords: Stationary; processes; random; process; modelling; prediction (search for similar items in EconPapers)
Date: 1983
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