Abstract
Consider a random variable X, E X2 <∞, that we wish to approximate (or predict) by a random variable Y belonging to a linear space of random variables H with finite second moments that is closed in the sense of mean square convergence. The following result is useful.
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© 1985 Birkhäuser Boston, Inc.
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Rosenblatt, M. (1985). Prediction and Moments. In: Stationary Sequences and Random Fields. Birkhäuser Boston. https://doi.org/10.1007/978-1-4612-5156-9_2
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DOI: https://doi.org/10.1007/978-1-4612-5156-9_2
Publisher Name: Birkhäuser Boston
Print ISBN: 978-0-8176-3264-9
Online ISBN: 978-1-4612-5156-9
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