Prediction for some non-Gaussian autoregressive schemes

DOI10.1016/0196-8858(86)90030-8zbMath0604.62092OpenAlexW2065271419MaRDI QIDQ1083166

Murray Rosenblatt

Publication date: 1986

Published in: Advances in Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0196-8858(86)90030-8

zbMATH Keywords

mean squarebest nonlinear predictornon-Gaussian autoregressive schemes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

• Lower bounds for nonlinear prediction error in moving average processes
• Arithmetic Properties of Bernoulli Convolutions
• Linear processes and bispectra
• On Prediction of Moving-Average Processes
• First-order autoregressive gamma sequences and point processes

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