On the linear prediction of multivariate \((2,p)\)-bounded processes

DOI10.1214/aop/1176990454zbMath0738.62089OpenAlexW2041845206MaRDI QIDQ1176156

Christian Houdré

Publication date: 25 June 1992

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176990454

zbMATH Keywords

Wiener filteringKalman filteringWold decompositionautoregressive representation(2,p)-bounded processesdecomposition for matrix bimeasuresFourier spectral representationfrequency domain propertieslinear least squares predictionmultivariate discrete-time nonstationary processesoptimum predictortime domain properties

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) General second-order stochastic processes (60G12) Signal detection and filtering (aspects of stochastic processes) (60G35) Prediction theory (aspects of stochastic processes) (60G25)

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