On the linear prediction of multivariate \((2,p)\)-bounded processes (Q1176156)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the linear prediction of multivariate \((2,p)\)-bounded processes |
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On the linear prediction of multivariate \((2,p)\)-bounded processes (English)
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25 June 1992
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The objective of this work is to develop a comprehensive study of the linear least squares prediction problem for some classes of multivariate discrete-time nonstationary processes. The processes under study are the \((2,p)\)-bounded processes, \(1\leq p\leq+\infty\). The author studies time domain as well as frequency domain properties for these processes, such as a Wold decomposition and a decomposition for matrix bimeasures, obtaining also an autoregressive representation for the optimum predictor.
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linear least squares prediction
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multivariate discrete-time nonstationary processes
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(2,p)-bounded processes
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time domain properties
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frequency domain properties
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Wold decomposition
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decomposition for matrix bimeasures
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autoregressive representation
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optimum predictor
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Fourier spectral representation
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Kalman filtering
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Wiener filtering
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