Extensions of Rosenblatt's results on the asymptotic behavior of the prediction error for deterministic stationary sequences

DOI10.1111/JTSA.12572MaRDI QIDQ5012856zbMATH OpenOpenAlexFDO

Authors N. Babayan, Murad S. Taqqu, M. S. Ginovyan

Publication date 25 November 2021

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.00430

zbMATH Keywords

asymptotic behavior of the prediction errordeterministic stationary processRakhmanov's theoremRosenblatt's theoremstransfinite diameterVerblunsky's coefficients.

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)

Abstract: One of the main problem in prediction theory of discrete-time second-order stationary processes $X(t)$ is to describe the asymptotic behavior of the best linear mean squared prediction error in predicting $X(0)$ given $X(t),$ $-nletle-1$, as $n$ goes to infinity. This behavior depends on the regularity (deterministic or non-deterministic) of the process $X(t)$. In his seminal paper {it "Some purely deterministic processes" (J. of Math. and Mech.,} 6(6), 801-810, 1957), M. Rosenblatt has described the asymptotic behavior of the prediction error for discrete-time deterministic processes in the following two cases: (a) the spectral density $f(lambda)$ of $X(t)$ is continuous and vanishes on an interval, (b) the spectral density $f(lambda)$ has a very high order contact with zero. He showed that in the case (a) the prediction error variance behaves exponentially, while in the case (b), it behaves hyperbolically as $noinfty$. In this paper, using a new approach, we describe extensions of Rosenblatt's results to broader classes of spectral densities. Examples illustrate the obtained results.

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