Linear prediction of ARMA processes with infinite variance
نویسندگان
چکیده
منابع مشابه
Linear Prediction of Arma Processes with Infinite Variance
In order to predict unobserved values of a linear process with infinite variance, we introduce a linear predictor which minimizes the dispersion (suitably defined) of the error distribution. When the linear process is driven by symmetric stable white noise this predictor minimizes the scale parameter of the error distribution. In the more general case when the driving white noise process has re...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1985
ISSN: 0304-4149
DOI: 10.1016/0304-4149(85)90030-4