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

projectionsregular variationorthogonal complementsHilbert space prediction error

Mathematics Subject Classification ID

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

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• Asymptotics for the partial autocorrelation function of a stationary process
• On the asymptotic behavior of the prediction error of a stationary process
• On the theory of discrete KMO-Langevin equations with reflection positivity. II
• Regularly varying correlation functions and KMO-Langevin equations
• The Alder-Wainwright effect for stationary processes with reflection positivity
• 𝑅-functions—analytic functions mapping the upper halfplane into itself

Cited in

(5)

• On the asymptotic behavior of the prediction error of a stationary process
• Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes.
• On the Structure and Estimation of Reflection Positive Processes
• Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing.
• Prediction error for continuous-time stationary processes with singular spectral densities

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