On the best linear prediction of linear processes

MaRDI QIDQ5507018zbMATH OpenFDO

Authors Mohammad Hassan Mohammadi, Adel Mohammadpour

Publication date 16 December 2016

zbMATH Keywords

ARMA processdomain of attractionHilbert spacelinear predictionlinear process

Mathematics Subject Classification ID

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

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• Best linear prediction for \(\alpha \)-stable random processes
• Optimal prediction in the linearly transformed spiked model
• Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes

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