A Method of Functional Estimation for Stationary Processes

K. L. Vaninsky

Journal of Multivariate Analysis, 1993, vol. 46, issue 1, 97-111

Abstract: The problem of predicting the value of a linear function of future values of a stationary process when its past and present are known is considered. The estimator of a studied function is constructed which is expressed-through the set of canonical variables.

Date: 1993
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