Optimal transformations for prediction in continuous-time stochastic processes

MaRDI QIDQ4218906zbMATH OpenFDO

Authors Alejandro Murua, Basilis Gidas

Publication date 27 February 2000

zbMATH Keywords

predictionpredictorweakly stationary stochastic processes

Mathematics Subject Classification ID

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

Review text

The authors consider the Wiener-Kolmogorov prediction problem. They are interested in the most predictable, non-trivial functional and its best predictor. They show that this problem may not have a solution or it may have multiple solutions. In part 3 the weakly stationary, finite-variance stochastic processes are considered. For these processes the authors give conditions under which the problem has a solution. For the entire collection see [Zbl 0895.00024].

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• scientific article; zbMATH DE number 4088629 (Why is no real title available?)
• Robust Response Transformations Based on Optimal Prediction

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