On the use of the continuous wiener filter to generalized fractional gaussian noise
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Data
2023Autore
Gorev, V.
Shedlovska, Y.
Zhuravlyov, M.
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The paper is devoted to the investigation of the continuous Kolmogorov–Wiener filter weight function for forecasting of the process described by the generalized fractional Gaussian noise model. Such a model may describe telecommunication traffic, see [1, 2]. Our recent papers were devoted to the corresponding weight function obtaining for the processes in the power-law structure function model [3–5], іn the “usual“ fractional Gaussian noise model [6–8] and in the Gaussian fractional sum-difference model [9]; see also a review in [10]. However, the corresponding investigation for the generalized fractional Gaussian noise model is not yet done. In [11] it is shown, in particular, that the continuous Kolmogorov–Wiener filter may be applied to prediction of smoothed heavy-tail processes. So, the problem under consideration is of interest.