Inversion of Wiener-Hopf truncated operators and prediction error for continuous time ARMA processes

MaRDI QIDQ1012786zbMATH OpenFDO

Authors M. S. Ginovyan, Levon V. Mikaelyan

Publication date 22 April 2009

Published in Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences (Search for Journal in Brave)

Mathematics Subject Classification ID

Toeplitz operators, Hankel operators, Wiener-Hopf operators (47B35) Applications of operator theory in probability theory and statistics (47N30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited in

(1)

• Prediction error for continuous-time stationary processes with singular spectral densities

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