Harmonizable processes and inference: Unbiased prediction for stochastic flows

DOI10.1016/0378-3758(94)90205-4zbMath0804.60034OpenAlexW2154214805WikidataQ126297126 ScholiaQ126297126MaRDI QIDQ1330192

M. M. Rao

Publication date: 15 January 1995

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(94)90205-4

zbMATH Keywords

asymptotic propertiesstatistical estimationleast-square prediction of a signal processprediction and estimation problems

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Prediction theory (aspects of stochastic processes) (60G25)

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The life and work of M. M. Rao, Time‐Dependent Dual‐Frequency Coherence in Multivariate Non‐Stationary Time Series

Cites Work

• \(C\)-Bimeasures \(\varLambda\) and their integral extensions
• Harmonizable processes: Structure theory
• An existence theorem for linear stochastic differential equations
• On empirical spectral analysis of stochastic processes
• Canonical representations of Gaussian processes and their applications
• Stationary Measures for the Flow of a Linear Differential Equation Driven by White Noise
• Inference in stochastic processes-III
• On the Nature of the Spectrum of Singular Second Order Linear Differential Equations
• On the Relation Between Green's Functions and Covariances of Certain Stochastic Processes and Its Application to Unbiased Linear Prediction
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Stochastic processes and statistical inference
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