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

DOI10.1007/s10440-008-9414-0zbMath1213.62146OpenAlexW2038728989MaRDI QIDQ973836

Mamikon S. Ginovyan, Levon V. Mikaelyan

Publication date: 26 May 2010

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-008-9414-0

zbMATH Keywords

prediction errorstationary Gaussian processSzegö theoremparameter functionWiener-Hopf truncated operator

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Inference from stochastic processes and spectral analysis (62M15) Prediction theory (aspects of stochastic processes) (60G25) Applications of operator theory in probability theory and statistics (47N30)

Related Items (1)

Aspects of prediction

Cites Work

• Prediction from part of the past of a stationary process
• Inversion of Wiener-Hopf truncated operators and prediction error for continuous time ARMA processes
• Approximation of the finite prediction for a weakly stationary process
• Asymptotic behavior of difference between a finite predictor and an infinite predictor for a weakly stationary stochastic process
• Prediction d'un processus stationnaire du second ordre de covariance connue sur un intervalle fini
• A problem in trigonometric approximation theory
• Spectral theory of a class of canonical differential systems
• Asymptotic behavior of the prediction error for stationary random sequences
• Asymptotics for prediction errors of stationary processes with reflection positivity
• WIENER-HOPE Determinants with Rational Symbols
• On the Extrapolation of Generalized Stationary Random Processes
• Toeplitz Determinants with Singular Generating Functions
• The Asymptotic Behavior of the Prediction Error of a Stationary Sequence with a Spectral Density of Special Type
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