On the convergence of finite linear predictors of stationary processes

DOI10.1016/0047-259X(89)90033-XMaRDI QIDQ1122914zbMATH OpenFDO

Authors M. Pourahmadi

Publication date 1989

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(89)90033-X

zbMATH Keywords

analyticexponential rate of convergencefinite linear least-squares predictorKolmogorov-Wiener predictormultivariate stationary processpartial sumsprediction errorsmoothspectral density matrix

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• A matricial extension of the Helson-Szegö theorem and its application in multivariate prediction
• A note on the degree of approximation of Fourier series
• An Asymptotic Result for the Finite Predictor.
• An Extension of a Theorem of G. Szego and Its Application to the Study of Stochastic Processes
• Asymptotic Estimates for the Finite Predictor.
• Autocorrelation, autoregression and autoregressive approximation
• Consistent autoregressive spectral estimates
• scientific article; zbMATH DE number 3131354 (Why is no real title available?)
• scientific article; zbMATH DE number 3271087 (Why is no real title available?)
• scientific article; zbMATH DE number 3344199 (Why is no real title available?)
• On the Bilateral Linear Predictor for Minimal Stationary Stochastic Processes
• On the mean convergence of the best linear interpolator of multivariate stationary stochastic processes
• The Helson-Sarason-Szego Theorem and the Abel Summability of the Series for the Predictor
• The prediction theory of multivariate stochastic processes. I. The regularity condition. - II. The linear predictor

Cited in

(16)

• Approximation of the finite prediction for a weakly stationary process
• Hölder classes of vector-valued functions and convergence of the best predictor
• Baxter's inequality and convergence of finite predictors of multivariate stochastic processes
• Model selection for high-dimensional linear regression with dependent observations
• On series representations for linear predictors
• Some extensions of linear approximation and prediction problems for stationary processes
• Convergence of the best linear predictor of a weakly stationary random field
• Mixed-norm spaces and prediction of \(\mathrm{S}\alpha\mathrm{S}\) moving averages
• On the mean square convergence of the convolution representation of linear filters
• scientific article; zbMATH DE number 3944952 (Why is no real title available?)
• Exponential Convergence Properties of Autocovariance Matrix Inverses and Latent Vector Prediction Coefficients
• Résultats de convergence presque sûre pour l’estimation et la prévision des processus linéaires hilbertiens
• Linear prediction of long-range dependent time series
• On the asymptotic behavior of a finite section of the optimal causal filter
• The mixing rate of a stationary multivariate process
• On the mean convergence of the best linear interpolator of multivariate stationary stochastic processes

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