A unique representation theorem for the conditional expectation of stationary processes and application to dynamic estimation problems

DOI10.2307/3215377MaRDI QIDQ4358587zbMATH OpenOpenAlexFDO

Authors M. C. Campi

Publication date 8 September 1998

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3215377

zbMATH Keywords

stationarityconditional expectationuniquenessdynamic estimation problems

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Stationary stochastic processes (60G10)

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Cited in

(2)

• Estimating the conditional expectations for continuous time stationary processes
• On Uniqueness of Moving Average Representations of Heavy‐tailed Stationary Processes

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