ON THE LINEAR PREDICTION OF MULTIVARIATE (2,P)-BOUNDED PROCESSES
成果类型：
Article
署名作者：
HOUDRE, C
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/aop/1176990454
发表日期：
1991
页码：
843-867
关键词：
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.