Wiener-Kolmogorov predicting for stationary processes

MaRDI QIDQ2897602zbMATH OpenFDO

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)

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)

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(9)

• Interpolation of functionals of stochastic sequences with stationary increments
• Stationary statistical experiments and the optimal estimator for a predictable component
• Approximation of the finite prediction for a weakly stationary process
• Optimal prediction of generalized stationary processes
• Some model of stochastic prediction
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• scientific article; zbMATH DE number 3886931 (Why is no real title available?)
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• A discussion on the Wiener-Kolmogorov prediction principle with easy-to-compute and robust variants

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