Prediction and non-Gaussian autoregressive stationary sequences

DOI10.1214/aoap/1177004838zbMath0828.62084OpenAlexW2089491137MaRDI QIDQ1894628

Murray Rosenblatt

Publication date: 10 August 1995

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

Full work available at URL: https://doi.org/10.1214/aoap/1177004838

zbMATH Keywords

momentsrootsinnovationsnonlinear predictionbest one-step ahead predictornon-minimum phase non-Gaussian casestationary autoregressive sequence

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) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Prediction theory (aspects of stochastic processes) (60G25)

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