Prediction from part of the past of a stationary process

zbMath0539.60037MaRDI QIDQ794058

Eric Hayashi

Publication date: 1983

Published in: Illinois Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

spectral density

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Prediction theory (aspects of stochastic processes) (60G25)

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Prediction error for continuous-time stationary processes with singular spectral densities

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