Lower bounds for nonlinear prediction error in moving average processes

DOI10.1214/AOP/1176995153MaRDI QIDQ1257290zbMATH OpenOpenAlexFDO

Authors Marek Kanter

Publication date 1979

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176995153

zbMATH Keywords

Differential EntropyMoving Average Stationary ProcessMutual InformationOne Step Prediction Error

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25)

Cited in

(1)

• Prediction for some non-Gaussian autoregressive schemes

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