Optimising prediction error among completely monotone covariance sequences

DOI10.1214/ECP.V13-1355zbMath1191.60049OpenAlexW2059693189MaRDI QIDQ1038862

Ross S. McVinish

Publication date: 20 November 2009

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/228425

zbMATH Keywords

aggregationmaximum entropymoment space

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Prediction theory (aspects of stochastic processes) (60G25)

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