Optimal linear filtering and smoothing for a discrete-time stable linear model

DOI10.1006/JMVA.1994.1035MaRDI QIDQ1333192zbMATHOpenAlexFDO

Authors Marek Rutkowski

Publication date 14 February 1995

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

Full work available at URL https://doi.org/10.1006/jmva.1994.1035

zbMATH Keywords

prediction problemoptimal linear filteringsymmetric stable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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