On Prediction of Moving-Average Processes

DOI10.1002/J.1538-7305.1980.TB03012.XMaRDI QIDQ3880136zbMATH OpenOpenAlexFDO

Authors Larry Shepp, David Slepian, Aaron D. Wyner

Publication date 1980

Published in Bell System Technical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/j.1538-7305.1980.tb03012.x

zbMATH Keywords

best estimatorsdiscrete-time stationary moving-average processentropylinear estimatorpredictionsmallest mean-squared errorspectrum

Mathematics Subject Classification ID

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

Cited in

(5)

• Prediction for some non-Gaussian autoregressive schemes
• Ordering univariate distributions by entropy and variance
• Linear and non-linear filters for linear, but not gaussian processes†
• ON THE MAXIMUM ENTROPY PROPERTY OF NONLINEAR AUTOREGRESSIONS
• A TEST FOR NON-LINEARITY OF PREDICTION IN TIME SERIES

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