The Asymptotic Behavior of the Prediction Error of a Stationary Sequence with a Spectral Density of Special Type
From MaRDI portal
Publication:5617378
DOI10.1137/1113089zbMath0214.45402MaRDI 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
62M15: Inference from stochastic processes and spectral analysis
62M05: Markov processes: estimation; hidden Markov models
Related Items
Prediction error for continuous-time stationary processes with singular spectral densities, On hyperbolic decay of prediction error variance for deterministic stationary sequences, Control cost for a discrete linear object under uncertainty about the spectral composition of perturbances, AR and MA representation of partial autocorrelation functions, with applications