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

zbMath1160.62349MaRDI QIDQ1012786

Mamikon 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

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

47B35: Toeplitz operators, Hankel operators, Wiener-Hopf operators

47N30: Applications of operator theory in probability theory and statistics

Related Items

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