Prediction with incomplete past of a stationary process.

DOI10.1016/S0304-4149(01)00116-8zbMath1058.62075MaRDI QIDQ1766054

Pascal Bondon

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

stationary processesprediction theoryautoregressive parametersautoregressive representationmissing value problems

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

Impact of missing data on the prediction of random fields ⋮ Prediction of random fields with incomplete quarter-plane past ⋮ Some prediction problems for stationary random fields with quarter-plane past ⋮ Estimation error for blind Gaussian time series prediction ⋮ Duals of random vectors and processes with applications to prediction problems with missing values ⋮ Influence of Missing Values on the Prediction of a Stationary Time Series ⋮ Filtering of multidimensional stationary sequences with missing observations ⋮ Interpolation of stationary sequences observed with a noise ⋮ Prediction of stationary Gaussian random fields with incomplete quarterplane past

Cites Work

• Unnamed Item
• Unnamed Item
• The prediction theory of multivariate stochastic processes. III: Unbounded spectral densities
• Time series: theory and methods.
• Prediction with incomplete past and interpolation of missing values
• Two prediction problems and extensions of a theorem of Szegö
• On series representations for linear predictors
• Représentation autorégressive du prédicteur à passé infini incomplet d'une série chronologique stationnaire
• An Extension of a Theorem of G. Szego and Its Application to the Study of Stochastic Processes

This page was built for publication: Prediction with incomplete past of a stationary process.