Optimal Linear Filtering and Smoothing for a Discrete Time Stable Linear Model

M. Rutkowski

Journal of Multivariate Analysis, 1994, vol. 50, issue 1, 68-92

Abstract: Properties of conditional expectation and metric projection for multivariate symmetric stable distributions are studied. Linear filtering, smoothing, and prediction problems for a discrete time stable linear model with constant coefficients are solved.

Date: 1994
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