Two prediction problems and extensions of a theorem of Szegö

zbMath0824.60039MaRDI QIDQ1891323

Mohsen Pourahmadi

Publication date: 31 October 1995

Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

polynomialsstationary processesSzegö's theoremprediction variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (5)

Nonlinear semiparametric AR(1) model with skew-symmetric innovations ⋮ Extremal problems for matrix-valued polynomials on the unit circle and applications to multivariate stationary sequences. ⋮ Duals of random vectors and processes with applications to prediction problems with missing values ⋮ Prediction with incomplete past of a stationary process. ⋮ A prediction problem in $L^2 (w)$

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