On a nonlinear prediction problem for one-dimensional stochastic processes

MaRDI QIDQ2748315zbMATH OpenFDO

Authors Masaya Matsuura, Yasunori Okabe

Publication date 30 June 2002

Published in Japanese Journal of Mathematics. New Series (Search for Journal in Brave)

zbMATH Keywords

local theory of KM\(_2\)O-Langevin equationsnonlinear predictionone-dimensional local stochastic process

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Nonparametric prediction for stochastic processes
• On optimal prediction for stochastic processes
• On a nonlinear prediction analysis for multi-dimensional stochastic processes with its applications to data analysis
• Application of the theory of \(KM_ 2 O\)-Langevin equations to the nonlinear prediction problem for the one-dimensional strictly stationary time series
• One-step prediction for \(P_ n\)-weakly stationary processes
• A note on optimal nonlinear prediction for independent increment processes
• On prediction of multivariate stationary stochastic processes of rank one
• scientific article; zbMATH DE number 2036021
• On nonparametric prediction of linear processes

Cited in

(11)

• On a nonlinear prediction analysis for multi-dimensional stochastic processes with its applications to data analysis
• Application of the theory of \(KM_ 2 O\)-Langevin equations to the nonlinear prediction problem for the one-dimensional strictly stationary time series
• A time series analysis of economical phenomena in Japan's lost decade (1): determinacy property of the velocity of money and equilibrium solution
• On a nonlinear risk analysis for stock market indexes
• Stochastic flows and finite block frames
• Nonlinear prediction with increasing loss
• scientific article; zbMATH DE number 4028519 (Why is no real title available?)
• scientific article; zbMATH DE number 4102203 (Why is no real title available?)
• PHASE SPACE RECONSTRUCTION AND NONLINEAR PREDICTIONS FOR STATIONARY AND NONSTATIONARY MARKOVIAN PROCESSES
• scientific article; zbMATH DE number 749652 (Why is no real title available?)
• Detection of changes in non-linear dynamics for time series based on the theory of \(\mathrm{KM}_2 \mathrm O\)-Langevin equations

This page was built for publication: On a nonlinear prediction problem for one-dimensional stochastic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2748315)