Hans Peter Bernhard,
"Determining the predictability of signals"
: Digital Signal Processing Workshop Proceedings, 1996., IEEE, Seite(n) 291 - 294, 9-1996
Determining the predictability of signals
Sprache des Titels:
Digital Signal Processing Workshop Proceedings, 1996., IEEE
In case of signal or time series prediction, it is important to know if
there is any chance for prediction or not. Therefore, the maximum
achievable prediction gain is the desired measure to characterize the
future knowledge of a signal. In this paper, we present a method to
evaluate the maximum prediction gain based on the observed signal only.
Hence, the presented method does not rely on a special prediction
function, therefore it is suitable for a decision whether any
is good enough or could be improved. To aid system identification
tasks the progress of the prediction gain is used as additional model
selection rule. Considering different signal types the predictability
behaves differently, i.e., it keeps constant for periodic signals or
vanishes in case of chaotic or random signals.