Optimal Moving Average Estimation of Noisy Random Walks using Allan Variance-informed Window Length.

Hossein Haeri Behrad Soleimani Kshitij Jerath

Published in: ACC (2022)

Keyphrases

random walk
moving average
directed graph
autoregressive
markov chain
markov random walk
dynamic programming
optimal solution
transition probabilities
machine learning
stationary distribution
parameter estimation
hidden markov models
feature space
spectral methods
transition probability matrix
arma model