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Polynomial interpolation and prediction of continuous-time processes from random samples

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1 Author(s)
Masry, E. ; Dept. of Electr. & Comput. Eng., California Univ., San Diego, La Jolla, CA, USA

We consider the interpolation and prediction of continuous-time second-order random processes from a finite number of randomly sampled observations using Lagrange polynomial estimators. The sampling process (t1) is a general stationary point process on the real line. We establish upper bounds on the mean-square interpolation and prediction errors and determine their dependence on the mean sampling rate β and on the number of samples used. Comparisons with the Wiener-Hopf estimator are given

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Information Theory, IEEE Transactions on  (Volume:43 ,  Issue: 2 )