Non-linear predictors of transformed stationary processes

DOI10.1017/S0027763000020936MaRDI QIDQ3700530zbMATH OpenOpenAlexFDO

Authors Izumi Kubo, Sheu-San Lee

Publication date 1984

Published in Nagoya Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0027763000020936

zbMATH Keywords

Ornstein-Uhlenbeck processnon-linear predictor

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 3304501 (Why is no real title available?)
• Canonical representations of Gaussian processes and their applications
• Non-Linear prediction problems for Ornstein-Uhlenbeck process

Cited in

(4)

• Group Actions on Linear Predictors for Nonstationary Processes
• Properties of predictors in overdifferenced nearly nonstationary autoregression
• Optimal transformations for prediction in continuous-time stochastic processes: finite past and future
• Prediction problems for square-transformed stationary processes

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