Wold decomposition, prediction and parameterization of stationary processes with infinite variance

DOI10.1007/BF00319110zbMath0631.60042MaRDI QIDQ1094748

Mohsen Pourahmadi, Abol G. Miamee

Publication date: 1988

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

moving average representationautoregressive representationstrictly stationary processesharmonizable stable processesKolmogorov-Wiener type prediction theorysecond-order weakly stationary stochastic processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (17)

On some extremal problems in \(H^p\) and the prediction of \(L^p\)-harmonizable stochastic processes ⋮ Mixed‐Norm Spaces and Prediction of SαS Moving Averages ⋮ Weak parallelogram laws on Banach spaces and applications to prediction ⋮ SYMMETRIC STABLE SEQUENCES WITH MISSING OBSERVATIONS ⋮ Birkhoff-James orthogonality and the zeros of an analytic function ⋮ On the prediction of \(p\)-stationary processes ⋮ Regularization and variable selection for infinite variance autoregressive models ⋮ Duality of the weak parallelogram laws on Banach spaces ⋮ A Class of Sparse Invertible Matrices and Their Use for Nonlinear Prediction of Nearly Periodic Time Series with Fixed Period ⋮ An inner-outer factorization in \(\ell^{p}\) with applications to ARMA processes ⋮ Inner functions and zero sets for ℓ^{𝑝}_{𝐴} ⋮ On the geometry of L^p (μ) with applications to infinite variance processes ⋮ On the failure of canonical factorization in \(\ell_A^p\) ⋮ Best linear prediction for \(\alpha \)-stable random processes ⋮ Strong orthogonal decompositions and non-linear impulse response functions for infinite-variance processes ⋮ Positive matrices in the Hardy space with prescribed boundary representations via the Kaczmarz algorithm ⋮ Some Banach spaces of vector valued functions and an extremal problem

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• On Minimality and Interpolation of Harmonizable Stable Processes
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