Asymptotic behavior of the prediction error for stationary sequences

DOI10.1214/23-PS21zbMATH Open1517.60040arXiv2210.06603OpenAlexW4382023248MaRDI QIDQ6168536FDOQ6168536

Authors: N. Babayan, M. S. Ginovyan 

Publication date: 9 August 2023

Published in: Probability Surveys (Search for Journal in Brave)

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 nondeterministic) and on the dependence structure of the underlying observed process $X(t)$. In this paper we consider this problem both for deterministic and nondeterministic processes and survey some recent results. We focus on the less investigated case - deterministic processes. It turns out that for nondeterministic processes the asymptotic behavior of the prediction error is determined by the dependence structure of the observed process $X(t)$ and the differential properties of its spectral density $f$, while for deterministic processes it is determined by the geometric properties of the spectrum of $X(t)$ and singularities of its spectral density $f$.

Full work available at URL: https://arxiv.org/abs/2210.06603

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zbMATH Keywords

prediction errorspectral densitytransfinite diameterRosenblatt's theoremsdeterministic and nondeterministic processeigenvalues of truncated Toeplitz matricesIbragimov's theoremsSzegő's condition

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Eigenvalues, singular values, and eigenvectors (15A18) Prediction theory (aspects of stochastic processes) (60G25) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10) Polynomials and rational functions of one complex variable (30C10)

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Cited In (10)

• On hyperbolic decay of prediction error variance for deterministic stationary sequences
• On the asymptotic behavior of the prediction error of a stationary process
• Prediction error for continuous-time stationary processes with singular spectral densities
• Asymptotic behavior of the prediction error for stationary random sequences
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• COMPONENTS OF PREDICTION ERRORS FOR A STATIONARY PROCESS WITH ESTIMATED PARAMETERS
• On asymptotic behavior of the prediction error for a class of deterministic stationary sequences
• Extensions of Rosenblatt's results on the asymptotic behavior of the prediction error for deterministic stationary sequences
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