Wiener-Kolmogorov predicting for stationary processes

zbMATH Open1249.60069MaRDI QIDQ2897602FDOQ2897602

Authors: M. M. Luz 

Publication date: 16 July 2012

Published in: Visnyk. Matematyka. Mekhanika. Kyïvs'kyĭ Universytet Imeni Tarasa Shevchenka (Search for Journal in Brave)

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zbMATH Keywords

stationary stochastic processmean-square optimal linear estimate

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stationary stochastic processes (60G10)

Cited In (9)

• Functional estimation incorporating prior correlation information
• Approximation of the finite prediction for a weakly stationary process
• Stationary statistical experiments and the optimal estimator for a predictable component
• Interpolation of functionals of stochastic sequences with stationary increments
• Some model of stochastic prediction
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal prediction of generalized stationary processes
• A discussion on the Wiener-Kolmogorov prediction principle with easy-to-compute and robust variants

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