Prediction error for continuous-time stationary processes with singular spectral densities

DOI10.1007/S10440-008-9414-0zbMATH Open1213.62146OpenAlexW2038728989MaRDI QIDQ973836FDOQ973836

Authors: M. S. Ginovyan, Levon V. Mikaelyan 

Publication date: 26 May 2010

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-008-9414-0

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zbMATH Keywords

prediction errorstationary Gaussian process[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Szeg%EF%BF%BD%EF%BF%BD+theorem&go=Go Szeg�� theorem]parameter functionWiener-Hopf truncated operator

Mathematics Subject Classification ID

Gaussian processes (60G15) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25) Inference from stochastic processes and spectral analysis (62M15) Applications of operator theory in probability theory and statistics (47N30)

Cites Work

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Cited In (8)

• Aspects of prediction
• On spectral prediction error formulas for stationary random fields on Z^2
• Title not available (Why is that?)
• COMPONENTS OF PREDICTION ERRORS FOR A STATIONARY PROCESS WITH ESTIMATED PARAMETERS
• Title not available (Why is that?)
• Remark on the accuracy of recurrent forecasting in singular spectrum analysis
• A note on the prediction error for small time lags into the future (Corresp.)
• Title not available (Why is that?)

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