Innovations and Wold decompositions of stable sequences

DOI10.1007/BF00319099zbMath0635.62093MaRDI QIDQ1097619

Stamatis Cambanis, Aleksander Weron, Clyde D. jun. Hardin

Publication date: 1988

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

examples; Wold decomposition; least moment prediction; non-symmetric James orthogonality; regression prediction; symmetric stable sequences

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

60G25: Prediction theory (aspects of stochastic processes)

Related Items

SYMMETRIC STABLE SEQUENCES WITH MISSING OBSERVATIONS, On the geometry of L^p (μ) with applications to infinite variance processes, On stable Markov processes, A generalization of the Kalman filter to models with infinite variance, Ergodic properties of stationary stable processes, Wold decomposition, prediction and parameterization of stationary processes with infinite variance, Some Banach spaces of vector valued functions and an extremal problem, On some extremal problems in \(H^p\) and the prediction of \(L^p\)-harmonizable stochastic processes, Left and right linear innovations for a multivariate \(\text{S} \alpha \text{S}\) random variable, Infinite divisibility of sub-stable processes. II: Logarithm of probability measure, Infinite divisibility of sub-stable processes. I: Geometry of sub-spaces of \(L_ \alpha\)-space, Fractional ARIMA with stable innovations, Infinite variance stable moving averages with long memory, Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes

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