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Prediction theory for non-stationary sequences of random vectors

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Part of the Lecture Notes in Mathematics book series (LNM,volume 656)

Keywords

  • Random Vector
  • Linear Prediction
  • Canonical Representation
  • Spectral Covariance
  • Prediction Theory

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References

  1. Abreu, J.L., H-valued generalized functions and orthogonally scattered measures. Advances in Math. 19 (1976), 382–412

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  3. Deo, D.M, Prediction theory of non-stationary processes. Sankhya Ser. A 27 (1965), 113–132.

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  4. Dudley, R.M., Prediction theory for non-stationary sequences. Proceedings of the Fifth Berkeley symposium on mathematical statistics and probability. II: 1, pp.223–234. University of California Press, Berkeley, 1967.

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  5. Masani, P., The prediction theory of multivariate stochastic processes, III. Acta Math. 104 (1960), 141–162.

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  6. Rozanov, Yu. A., Stationary random processes. English translation. Holden-Day series in time series analysis. Holden-Day, San Francisco, 1967.

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© 1978 Springer-Verlag

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Niemi, H. (1978). Prediction theory for non-stationary sequences of random vectors. In: Weron, A. (eds) Probability Theory on Vector Spaces. Lecture Notes in Mathematics, vol 656. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0068819

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  • DOI: https://doi.org/10.1007/BFb0068819

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-08846-2

  • Online ISBN: 978-3-540-35814-5

  • eBook Packages: Springer Book Archive