A prediction perspective on the Wiener–Hopf equations for time series
DOI10.1111/jtsa.12648arXiv2107.04994OpenAlexW4223504467MaRDI QIDQ6135332
Junho Yang, Suhasini Subba Rao
Publication date: 24 August 2023
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.04994
deconvolutionlinear predictionstationary time seriesWiener-Hopf equationssemi-infinite Toeplitz matrices
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes (62Mxx)
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