ON THE LINEAR PREDICTION OF MULTIVARIATE (2,P)-BOUNDED PROCESSES

被引：3

作者：

HOUDRE, C

机构：

来源：

ANNALS OF PROBABILITY | 1991年 / 19卷 / 02期

关键词：

LINEAR PREDICTION; NONSTATIONARY PROCESSES; WIENER AND KALMAN FILTERING;

D O I：

10.1214/aop/1176990454

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We develop the linear least squares prediction theory for some classes of nonstationary processes having a Fourier spectral representation. We study time domain as well as spectral domain properties for these processes, such as a Wold decomposition and a decomposition for matrix bimeasures. We also obtain an autoregressive representation for the optimum predictor.

引用

页码：843 / 867

页数：25

共 39 条

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