Innovations and Wold decompositions of stable sequences

DOI10.1007/BF00319099zbMath0635.62093OpenAlexW2046360210MaRDI QIDQ1097619

Clyde D. jun. Hardin, Aleksander Weron, Stamatis Cambanis

Publication date: 1988

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00319099

zbMATH Keywords

examplesWold decompositionleast moment predictionnon-symmetric James orthogonalityregression predictionsymmetric stable sequences

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (23)

On some extremal problems in \(H^p\) and the prediction of \(L^p\)-harmonizable stochastic processes ⋮ Ergodic properties of stationary stable processes ⋮ Infinite divisibility of sub-stable processes. I: Geometry of sub-spaces of \(L_ \alpha\)-space ⋮ Contrasting stochasticity with chaos in a permutation Lempel-Ziv complexity -- Shannon entropy plane ⋮ Mixed‐Norm Spaces and Prediction of SαS Moving Averages ⋮ Wold decomposition, prediction and parameterization of stationary processes with infinite variance ⋮ Left and right linear innovations for a multivariate \(\text{S} \alpha \text{S}\) random variable ⋮ Weak parallelogram laws on Banach spaces and applications to prediction ⋮ Infinite divisibility of sub-stable processes. II: Logarithm of probability measure ⋮ Fractional ARIMA with stable innovations ⋮ SYMMETRIC STABLE SEQUENCES WITH MISSING OBSERVATIONS ⋮ Infinite variance stable moving averages with long memory ⋮ Birkhoff-James orthogonality and the zeros of an analytic function ⋮ On discrete-time stable multiple Markov processes ⋮ A generalization of the Kalman filter to models with infinite variance ⋮ Bandt-Pompe symbolization dynamics for time series with tied values: A data-driven approach ⋮ On stable Markov processes ⋮ An inner-outer factorization in \(\ell^{p}\) with applications to ARMA processes ⋮ Inner functions and zero sets for ℓ^{𝑝}_{𝐴} ⋮ On the geometry of L^p (μ) with applications to infinite variance processes ⋮ On the failure of canonical factorization in \(\ell_A^p\) ⋮ Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes ⋮ Some Banach spaces of vector valued functions and an extremal problem

Cites Work

• Linear prediction of ARMA processes with infinite variance
• On the spectral representation of symmetric stable processes
• Linear sample spaces and stable processes
• Prediction of stable processes: Spectral and moving average representations
• Harmonizable stable processes
• Orthogonal Decomposition of Isometries in a Banach Space
• Prediction of strictly stationary sequences
• Some Structure Theorems for the Symmetric Stable Laws
• A representation theorem for symmetric stable processes and stable measures on H
• Orthogonality and Linear Functionals in Normed Linear Spaces
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