A prediction problem in $L^2 (w)$

DOI10.1090/S0002-9939-06-08575-3zbMath1121.60041OpenAlexW77785579MaRDI QIDQ3420108

Yukio Kasahara, Akihiko Inoue, Mohsen 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) Estimation and detection in stochastic control theory (93E10) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (6)

Robust Linear Interpolation and Extrapolation of Stationary Time Series in L^p ⋮ Some prediction problems for stationary random fields with quarter-plane past ⋮ Duals of random vectors and processes with applications to prediction problems with missing values ⋮ Filtering of multidimensional stationary sequences with missing observations ⋮ Interpolation of stationary sequences observed with a noise ⋮ Prediction of stationary Gaussian random fields with incomplete quarterplane past

Cites Work

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• Prediction n Units of Time Ahead
• Some extremal problems in 𝐿^{𝑝}(𝑤)
• A duality principle for stationary random sequences
• Some remarks on duality of stationary sequences

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