Prediction for some non-Gaussian autoregressive schemes

DOI10.1016/0196-8858(86)90030-8zbMATH Open0604.62092OpenAlexW2065271419MaRDI QIDQ1083166FDOQ1083166

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

mean squarebest nonlinear predictornon-Gaussian autoregressive schemes

Mathematics Subject Classification ID

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

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
• Efficient prediction for linear and nonlinear autoregressive models
• Predictive discrimination for autoregressive processes
• Title not available (Why is that?)

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