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.
Publié le : 1991-04-14
Classification:
Linear prediction,
nonstationary processes,
Wiener and Kalman filtering,
60G12,
60G10,
62M10
@article{1176990454,
author = {Houdre, Christian},
title = {On the Linear Prediction of Multivariate $(2, p)$-Bounded Processes},
journal = {Ann. Probab.},
volume = {19},
number = {4},
year = {1991},
pages = { 843-867},
language = {en},
url = {http://dml.mathdoc.fr/item/1176990454}
}
Houdre, Christian. On the Linear Prediction of Multivariate $(2, p)$-Bounded Processes. Ann. Probab., Tome 19 (1991) no. 4, pp. 843-867. http://gdmltest.u-ga.fr/item/1176990454/