On the asymptotic behavior of a finite section of the optimal causal filter

DOI10.3150/23-BEJ1709MaRDI QIDQ6589587FDOQ6589587

Junho Yang

Publication date: 20 August 2024

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

mean squared prediction errorpredictor coefficientsshort and long memory time seriesuniform Baxter's inequality

Mathematics Subject Classification ID

Stochastic processes (60Gxx) Inference from stochastic processes (62Mxx) Stochastic systems and control (93Exx)

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