Estimating the MMSE of Estimation of Discrete AR and MA Stochastic Processes from Their Noisy Version Using PoSt moDERn Mathematics
Pedram Pad, EPFL STI LIB

Seminar • 07 May 2012

Abstract
Finding the MMSE of estimating a Stochastic Process from its noisy version is a very basic problem in any field of signal processing. But, up to the best of my knowledge, it has not been solved except for special cases like Gaussian or i.i.d. processes. In this talk I'm going to present our works about this problem for the general case of AR and MA processes with arbitrary input distribution. Large Deviations Theory, Random Matrix Theory, Replica Theory and some basic definitions of Information Theory with a pool of conjectures!!! are our tools for approaching the problem. The results of this research could contribute in the fields of signal processing, coding of sources/channels with memory and also statistical mechanics of non-iid spin glasses (if any exists).