Wiener and Masani describe a procedure for relating nonlinear prediction of a univariate random process to linear prediction of an infinite-variate process which may not be a Hilbert-space-valued process but may be Banach-space-valued instead. An algorithm for computation of the linear predictor and the generating function of a Banach-space-valued stationary stochastic process is obtained under an extension of the boundedness condition of Wiener and Masani on the spectral density of the process.
Publié le : 1978-10-14
Classification:
Spectral density,
boundedness condition,
factorization,
algorithm for the predictor,
prediction error matrix,
60G25,
60G20
@article{1176995436,
author = {Phoha, Shashi},
title = {An Algorithm for Linear Prediction of a Banach Space Valued Stationary Stochastic Process},
journal = {Ann. Probab.},
volume = {6},
number = {6},
year = {1978},
pages = { 891-898},
language = {en},
url = {http://dml.mathdoc.fr/item/1176995436}
}
Phoha, Shashi. An Algorithm for Linear Prediction of a Banach Space Valued Stationary Stochastic Process. Ann. Probab., Tome 6 (1978) no. 6, pp. 891-898. http://gdmltest.u-ga.fr/item/1176995436/