On series representations for linear predictors

DOI10.1214/aop/1176993077zbMath0559.60040OpenAlexW2088040660MaRDI QIDQ2266288

Peter Bloomfield

Publication date: 1985

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176993077

zbMATH Keywords

moving average representationfractional differencing of a random walklinear predictors of a stationary process

Mathematics Subject Classification ID

Convergence and absolute convergence of Fourier and trigonometric series (42A20) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (6)

Seasonal FIEGARCH processes ⋮ ON THE INVERTIBILITY OF MULTIVARIATE LINEAR PROCESSES ⋮ Autoregressive representations of multivariate stationary stochastic processes ⋮ Prediction with incomplete past of a stationary process. ⋮ Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes ⋮ Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.

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