A prediction problem in L^2 (w)

DOI10.1090/S0002-9939-06-08575-3MaRDI QIDQ3420108zbMATH OpenOpenAlexFDO

Authors Akihiko Inoue, Yukio Kasahara, M. Pourahmadi

Publication date 1 February 2007

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/s0002-9939-06-08575-3

zbMATH Keywords

predictionstationary stochastic sequence

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Estimation and detection in stochastic control theory (93E10)

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Cites work

• scientific article; zbMATH DE number 1847031 (Why is no real title available?)
• scientific article; zbMATH DE number 3338824 (Why is no real title available?)
• A duality principle for stationary random sequences
• Best Approximations in L^p (d μ) and Prediction Problems of Szegö, Kolmogorov, Yaglom, and Nakazi
• Foundations of time series analysis and prediction theory
• On basicity of exponentials in \(L^ p(d\mu)\) and general prediction problems
• Prediction n Units of Time Ahead
• Prediction of stable processes: Spectral and moving average representations
• Some extremal problems in 𝐿^{𝑝}(𝑤)
• Some remarks on duality of stationary sequences
• Taylor Expansion of exp(∑ ∞ k = 0 a k z k ) and Some Applications
• The prediction theory of multivariate stochastic processes. I. The regularity condition. - II. The linear predictor
• Two prediction problems and extensions of a theorem of Szegö
• Two problems in prediction theory

Cited in

(11)

• Prediction of stationary Gaussian random fields with incomplete quarterplane past
• Duals of random vectors and processes with applications to prediction problems with missing values
• Interpolation of stationary sequences observed with a noise
• Filtering of multidimensional stationary sequences with missing observations
• scientific article; zbMATH DE number 4192775 (Why is no real title available?)
• On basicity of exponentials in \(L^ p(d\mu)\) and general prediction problems
• Some problems arising from prediction theory and a theorem of Kolmogorov
• Commutator of two projections in prediction theory
• Some prediction problems for stationary random fields with quarter-plane past
• Robust linear interpolation and extrapolation of stationary time series in \(L^p\)
• Prediction operator in Orlicz spaces

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