The optimal causal linear predictor is not Turing computable

DOI10.1007/978-3-031-82014-4_5MaRDI QIDQ6973081zbMATH OpenFDO

Authors Holger Boche, Volker Pohl, H. Vincent Poor

Publication date 11 June 2025

Full work available at URL https://doi.org/10.1007/978-3-031-82014-4_5

zbMATH Keywords

computabilityminimal mean square erroroptimal predictionstationary time seriesTuring machineWiener prediction filter

Mathematics Subject Classification ID

Computation over the reals, computable analysis (03D78) Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Classical models of computation (Turing machines, etc.) (68Q04) Analysis of algorithms and problem complexity (68Q25)

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