Characterizations of autoregressive prediction and moving average prediction as discrete-time spline interpolation

DOI10.1080/03610927908827735zbMath0447.62101OpenAlexW2080769222MaRDI QIDQ3893198

Lawrence Peele

Publication date: 1979

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610927908827735

zbMATH Keywords

characterizationsGaussian processspline functionprediction functionautoregressive predictiondiscrete-time spline interpolationmoving average predictionstationary discrete time autoregressive process

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Numerical computation using splines (65D07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Spline approximation (41A15)

Cites Work

• Prediction functions and mean-estimation functions for a time series
• A survey of the theory of spectral operators
• A Correspondence Between Bayesian Estimation on Stochastic Processes and Smoothing by Splines
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