J. P. Dranitsa, A. Yu. Dranitca, O. V. Alekseevskaya, “Problems of correct evaluation and algorithms of manipulation with the function of autocorrelation on the basis of the linear model”, Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2009, Issue 14,Pages <nobr>67

Probabilistic models

Problems of correct evaluation and algorithms of manipulation with the function of autocorrelation on the basis of the linear model

J. P. Dranitsa^a, A. Yu. Dranitca^b, O. V. Alekseevskaya^b

^a Murmansk State Technical University
^b CJSC Lanit, Moscow

Abstract: Problems of a correct estimation, smoothing, a filtration in a strip of frequencies, and extrapolations function of autocorrelation (FAC) are considered and solved in this work The problem of estimation FAC of noise in supervision with use of a minimum of the a priori information is solved. A basis of the applied way of processing is the linear dynamic model of data. Use of the developed technique is shown on natural data.

Keywords: linear dynamic model, the linear differential equations, an estimation of parameters, autocorrelation function, smoothing, approximation, a filtration, extrapolation, noise parameters, white noise, colour noise.

UDC: 517.958+517.962.2

Received: 10.05.2009
Revised: 02.07.2009