Optimising prediction error among completely monotone covariance sequences

DOI10.1214/ECP.V13-1355MaRDI QIDQ1038862zbMATH OpenOpenAlexFDO

Authors Ross S. McVinish

Publication date 20 November 2009

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/228425, http://www.emis.de/journals/EJP-ECP/_ejpecp/ECP/viewarticle3003.html

zbMATH Keywords

aggregationmaximum entropymoment space

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

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Cited in

(2)

• Monotonicity of the Trace–Inverse of Covariance Submatrices and Two-Sided Prediction
• Algorithmic Learning Theory

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