Prediction for some non-Gaussian autoregressive schemes

DOI10.1016/0196-8858(86)90030-8MaRDI QIDQ1083166zbMATH OpenOpenAlexFDO

Authors Murray Rosenblatt

Publication date 1986

Published in Advances in Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0196-8858(86)90030-8

zbMATH Keywords

best nonlinear predictormean squarenon-Gaussian autoregressive schemes

Mathematics Subject Classification ID

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

Review text

This paper considers non-Gaussian autoregressive schemes. The form of the best nonlinear predictor in mean square is determined in some special cases.

Cites work

• Arithmetic Properties of Bernoulli Convolutions
• First-order autoregressive gamma sequences and point processes
• Linear processes and bispectra
• Lower bounds for nonlinear prediction error in moving average processes
• On Prediction of Moving-Average Processes

Cited in

(4)

• Erratum to: ``Prediction for some non-Gaussian autoregressive schemes
• scientific article; zbMATH DE number 431876 (Why is no real title available?)
• Predictive discrimination for autoregressive processes
• Efficient prediction for linear and nonlinear autoregressive models

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