Performance comparison of adaptive and robust predictors for long range dependent signals

Boel, R. K.; Mareels, I. M.Y.; James, M. R.

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Performance comparison of adaptive and robust predictors for long range dependent signals

Date

2000

Authors

Boel, R. K.

Mareels, I. M.Y.

James, M. R.

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.