Prediction with incomplete past of a stationary process.

DOI10.1016/S0304-4149(01)00116-8zbMath1058.62075MaRDI QIDQ1766054

Pascal Bondon

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

stationary processes; prediction theory; autoregressive parameters; autoregressive representation; missing value problems

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Impact of missing data on the prediction of random fields, Prediction of random fields with incomplete quarter-plane past, Filtering of multidimensional stationary sequences with missing observations, Influence of Missing Values on the Prediction of a Stationary Time Series, Estimation error for blind Gaussian time series prediction, Duals of random vectors and processes with applications to prediction problems with missing values, Prediction of stationary Gaussian random fields with incomplete quarterplane past, Some prediction problems for stationary random fields with quarter-plane past, Interpolation of stationary sequences observed with a noise

Cites Work

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• An Extension of a Theorem of G. Szego and Its Application to the Study of Stochastic Processes