On the Trackability of Stochastic Processes

Baran Tan Bacinoglu; Yin Sun; Elif Uysal

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arXiv · 2002.08142

On the Trackability of Stochastic Processes

Baran Tan Bacinoglu·Yin Sun·Elif Uysal

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Abstract

We consider the problem of tracking an unstable stochastic process $X_t$ by using causal knowledge of another stochastic process $Y_t$. We obtain necessary conditions and sufficient conditions for maintaining a finite tracking error. We provide necessary conditions as well as sufficient conditions for the success of this estimation, which is defined as order $m$ moment trackability. By-products of this study are connections between statistics such as R\'{e}nyi entropy, Gallager's reliability function, and the concept of anytime capacity.

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Baran Tan Bacinoglu, Yin Sun, Elif Uysal. 2020-02-19. On the Trackability of Stochastic Processes. https://arxiv.org/abs/2002.08142

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