The Asymptotic Behavior of the Prediction Error of a Stationary Sequence with a Spectral Density of Special Type

DOI10.1137/1113089zbMath0214.45402OpenAlexW1993129458MaRDI QIDQ5617378

I. A. Ibragimov, Valentin Solev

Publication date: 1968

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1113089

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

Control cost for a discrete linear object under uncertainty about the spectral composition of perturbances ⋮ Ildar Abdullovich Ibragimov (on his ninetieth birthday) ⋮ On hyperbolic decay of prediction error variance for deterministic stationary sequences ⋮ AR and MA representation of partial autocorrelation functions, with applications ⋮ Prediction error for continuous-time stationary processes with singular spectral densities

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