Sufficient statistics in problems of extrapolation of stationary sequences

DOI10.1007/BF01085109MaRDI QIDQ1102684zbMATH OpenOpenAlexFDO

Authors V. M. Kondakov, Pavel N. Sapozhnikov

Publication date 1988

Published in Journal of Soviet Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01085109

zbMATH Keywords

linearly regular stationary sequencemean-square best linear predictionNecessary and sufficient conditionsspectral density

Mathematics Subject Classification ID

Sufficient statistics and fields (62B05) Inference from stochastic processes and prediction (62M20)

Review text

Necessary and sufficient conditions are found for the spectral density of a linearly regular stationary sequence so that the mean-square best linear prediction, made from a given number of steps throughout the past to a certain time, should coincide with the prediction based on a finite number of the last observations.

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Cites work

• On the Problem of the Equivalence of Probability Measures Corresponding to Stationary Gaussian Processes

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