Asymptotic behavior of the prediction error

DOI10.1007/BF01850663MaRDI QIDQ1060520zbMATH OpenFDO

Authors N. M. Babayan

Publication date 1984

Published in Journal of Soviet Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01850663

zbMATH Keywords

asymptotic behaviour of prediction errordeterministic processesminimum mean square errorsecond order stationary processtransfinite diameterzero mean

Mathematics Subject Classification ID

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

Review text

Translation from Zap. Nauchn. Semin. Leningr. Otd. Mat. Inst. Steklova 130, 11-24 (Russian) (1983; Zbl 0542.62083.

Cites work

• An Asymptotic Result for the Finite Predictor.
• An Extension of a Theorem of G. Szego and Its Application to the Study of Stochastic Processes
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Cited in

(6)

• On asymptotic behavior of the prediction error for a class of deterministic stationary sequences
• Asymptotic behavior of the variance of the best linear unbiased estimator for the mean of a discrete-time singular stationary process
• On hyperbolic decay of prediction error variance for deterministic stationary sequences
• Asymptotic Inference about Predictive Ability
• Extensions of Rosenblatt's results on the asymptotic behavior of the prediction error for deterministic stationary sequences
• Asymptotic behavior of the prediction error for stationary sequences

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