Non-linear predictors of transformed stationary processes

DOI10.1017/S0027763000020936zbMATH Open0578.60041OpenAlexW1592495396MaRDI QIDQ3700530FDOQ3700530

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

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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)

Cites Work

• Title not available (Why is that?)
• Canonical representations of Gaussian processes and their applications
• Non-Linear prediction problems for Ornstein-Uhlenbeck process

Cited In (4)

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

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