Estimation of Conditional Expected Value for Exponentially Autocorrelated Data

Abstract

Autocorrelation of signals and measurement data makes it difficult to estimate their statistical characteristics. However, the scope of usefulness of autocorrelation functions for statistical description of signal relation is narrowed down to linear processing models. The use of the conditional expected value opens new possibilities in the description of interdependence of stochastic signals for linear and non-linear models. It is described with relatively simple mathematical models with corresponding simple algorithms of their practical implementation.

Keywords

• conditional averaging
• conditional expected value
• auto-correlated data
• random signals