APPROXIMATE SOLUTIONS FOR THE KOLMOGOROV-WIENER FILTER WEIGHT FUNCTION FOR CONTINUOUS FRACTIONAL GAUSSIAN NOISE

Authors

DOI:

https://doi.org/10.15588/1607-3274-2021-1-3

Keywords:

Kolmogorov-Wiener filter weight function, continuous fractional Gaussian noise, Chebyshev polynomials of the first kind, telecommunication traffic forecast, method convergence.

Abstract

Context. We consider the Kolmogorov-Wiener filter for forecasting of telecommunication traffic in the framework of a continuous fractional Gaussian noise model.

Objective. The aim of the work is to obtain the filter weight function as an approximate solution of the corresponding WienerHopf integral equation. Also the aim of the work is to show the convergence of the proposed method of solution of the corresponding equation.

Method. The Wiener-Hopf integral equation for the filter weight function is a Fredholm integral equation of the first kind. We use the truncated polynomial expansion method in order to obtain an approximate solution of the corresponding equation. A set of Chebyshev polynomials of the first kind is used.

Results. We obtained approximate solutions for the Kolmogorov-Wiener filter weight function for forecasting of continuous fractional Gaussian noise. The solutions are obtained in the approximations of different number of polynomials; the results are obtained up to the nineteen-polynomial approximation. It is shown that the proposed method is convergent for the problem under consideration, i.e. the accuracy of the coincidence of the left-hand and right-hand sides of the integral equation increases with the number of polynomials. Such convergence takes place due to the fact that the correlation function of continuous fractional Gaussian noise, which is the kernel of the corresponding integral equation, is a positively-defined function.

Conclusions. The Kolmogorov-Wiener filter weight function for forecasting of continuous fractional Gaussian noise is obtained as an approximate solution of the corresponding Fredholm integral equation of the first kind. The proposed truncated polynomial expansion method is convergent for the problem under consideration. As is known, one of the simplest telecommunication traffic models is the model of continuous fractional Gaussian noise, so the results of the paper may be useful for telecommunication traffic forecast.

Author Biographies

V. N. Gorev, Dnipro University of Technology, Dnipro, Ukraine.

Assistant of the Department of Information Security and Telecommunications.

A. Yu. Gusev , Dnipro University of Technology, Dnipro, Ukraine.

PhD, Associate Professor, Professor of the Department of Information Security and Telecommunications.

V. I. Korniienko , Dnipro University of Technology, Dnipro, Ukraine.

Dr. Sc., Professor, Head of the Department of Information Security and Telecommunications.

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Published

2021-03-23

How to Cite

Gorev, . V. N. ., Gusev , A. Y. ., & Korniienko , V. I. . (2021). APPROXIMATE SOLUTIONS FOR THE KOLMOGOROV-WIENER FILTER WEIGHT FUNCTION FOR CONTINUOUS FRACTIONAL GAUSSIAN NOISE . Radio Electronics, Computer Science, Control, (1), 29–35. https://doi.org/10.15588/1607-3274-2021-1-3

Issue

No. 1 (2021): Radio Electronics, Computer Science, Control

Section

Radio electronics and telecommunications

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Copyright (c) 2021 В. М. Горєв , О. Ю. Гусєв , В. І. Корнієнко

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