Asymptotics for prediction errors of stationary processes with reflection positivity

DOI10.1006/JMAA.2000.7101MaRDI QIDQ1588432zbMATH OpenOpenAlexFDO

Authors Akihiko Inoue, Yuji Kasahara

Publication date 3 February 2002

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmaa.2000.7101

zbMATH Keywords

Hilbert space prediction error orthogonal complements projections regular variation

Mathematics Subject Classification ID

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

Review text

An \(L_2\) error of prediction for values \(X_T\) of a real, centered, weakly stationary process \(X_s\), \(s\in R\), by observations \(X_s\in[-t,0]\) is considered. The error is defined as \[ V_T(t)=\|P^\bot_{[-t,0]}X_t\|^2-\|P^\bot_{(-\infty,0]}X_t\|^2, \] where \(P^\bot_{[a,b]}X_t\) is an orthogonal complement in \(L_2\) of \(\{X_s,s\in[a,b]\}\) to \(X_T\). It is supposed that the covariance \(R(t)\) of \(X_t\) is regularly varying with negative index: \(R(\lambda t)/R(t)\to\lambda^{-p}\) as \(t\to\infty\) and \(R\) is reflection positive, i.e., \( R(t)=\int_0^\infty e^{-|t|\lambda}\sigma(d\lambda) \) for some finite Borel measure \(\sigma\). Asymptotic formulae for \(V_T(t)\) as \(t\to\infty\) are derived for different \(p\). E.g., if \(0<p<1\) then \[ V_T(t)\simeq (1-p)^2/4t \left( \int_0^T C(s)ds \right)^2, \] where \(C\) is the canonical representation kernel of \(X_t\), i.e., \(R(t)=\int_0^\infty C(t+s)C(s)ds\).

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