Some extensions of linear approximation and prediction problems for stationary processes

DOI10.1016/J.SPA.2018.08.001MaRDI QIDQ2274280zbMATH OpenOpenAlexWikidataFDO

Authors I. A. Ibragimov, Zakhar Kabluchko, M. A. Lifshits

Publication date 19 September 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.04985

zbMATH Keywords

energy saving approximationinterpolationpredictionwide sense stationary process

Mathematics Subject Classification ID

Interpolation in approximation theory (41A05) Variational inequalities (49J40) Stationary stochastic processes (60G10) Gaussian processes (60G15)

Abstract: Let $(B(t){)}_{tinTheta}$ with $Theta=mathbbZ$ or $Theta=mathbbR$ be a wide sense stationary process with discrete or continuous time. The classical linear prediction problem consists of finding an element in $overlinespanB(s),slet$ providing the best possible mean square approximation to the variable $B(au)$ with $au>t$. In this article we investigate this and some other similar problems where, in addition to prediction quality, optimization takes into account other features of the objects we search for. One of the most motivating examples of this kind is an approximation of a stationary process $B$ by a stationary differentiable process $X$ taking into account the kinetic energy that $X$ spends in its approximation efforts.

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Cited in

(14)

• Approximation of the finite prediction for a weakly stationary process
• On the convergence of finite linear predictors of stationary processes
• Prediction problems for square-transformed stationary processes
• Stochastic regression in terms of Brownian motion
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