随机过程非平稳性的一种最佳估计
An Optimal Estimation of Non-Stationarity of Stochastic Process
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摘要: 本文采用N等距节点正交多项式展开的方法,导出最小均方误差意义下的时变 相关函数的最佳逼近表达式,然后定义表征非平稳性的区间判据TQ,得到了最佳 观测时间窗宽Ts的表达式.文中举出了应用实例.Abstract: In this paper, an optimum approach formula of the time varying correlation function in the sense of minimum mean-square error is derived by using the method of N equal space node orthonormal polynomial expansion. Space criterion To of non-stationarity of stochastic process is defined, and expression for Ts, optimum width of processing window, is obtained An example is also given.
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