Best linear prediction for \(\alpha \)-stable random processes

DOI10.1016/J.SPL.2009.07.027zbMath1176.62093OpenAlexW1508672723MaRDI QIDQ1036740

Mohammad Mohammadi, Adel Mochammadpour

Publication date: 13 November 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.07.027

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15)

Related Items (5)

Mixed‐Norm Spaces and Prediction of SαS Moving Averages ⋮ Extrapolation of stationary random fields via level sets ⋮ On the prediction of \(p\)-stationary processes ⋮ Strongly harmonizable ARMA S\(\alpha\)S models ⋮ An inner-outer factorization in \(\ell^{p}\) with applications to ARMA processes

Cites Work

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• Linear prediction of ARMA processes with infinite variance
• Wold decomposition, prediction and parameterization of stationary processes with infinite variance
• Prediction of stable processes: Spectral and moving average representations

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