Baxter's inequality and convergence of finite predictors of multivariate stochastic processes

DOI10.1007/BF01197341zbMath0792.60031OpenAlexW2016197810MaRDI QIDQ1326308

R. Cheng, Mohsen Pourahmadi

Publication date: 18 May 1994

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

Full work available at URL: https://doi.org/10.1007/bf01197341

zbMATH Keywords

rates of convergenceToeplitz operatorsmultivariate generalizations of Baxter's inequalitysmoothness properties of a spectral density

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25)

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Cites Work

• On the convergence of finite linear predictors of stationary processes
• A norm inequality for a 'finite-section' Wiener-Hopf equation
• Hölder classes of vector-valued functions and convergence of the best predictor
• Hankel operators, best approximations, and stationary Gaussian processes
• Asymptotic Estimates for the Finite Predictor.
• On the Asymptotic Behavior of the Prediction Error
• An Extension of a Theorem of G. Szego and Its Application to the Study of Stochastic Processes
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