Some extensions of linear approximation and prediction problems for stationary processes

Ildar Ibragimov, Zakhar Kabluchko and Mikhail Lifshits

Stochastic Processes and their Applications, 2019, vol. 129, issue 8, 2758-2782

Abstract: Let (B(t))t∈Θ with Θ=Z or Θ=R be a wide sense stationary process with discrete or continuous time. The classical linear prediction problem consists of finding an element in span¯{B(s),s≤t} providing the best possible mean square approximation to the variable B(τ) with τ>t.

Keywords: Energy saving approximation; Interpolation; Prediction; Wide sense stationary process (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spa.2018.08.001

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