Some prediction problems for stationary random fields with quarter-plane past
نویسندگان
چکیده
منابع مشابه
Some prediction problems for stationary random fields with quarter-plane past
We study several nonstandard prediction problems where a number of observations are added to the quarter-plane past of a stationary random field. The goal is to provide informative and explicit prediction error variance formulas in terms of either the autoregressive or moving average parameters of the random fields. However, unlike the time series situation , the prediction error variances for ...
متن کاملInhomogeneous perturbation and error bounds for the stationary performance of random walks in the quarter plane
A continuous-time random walk in the quarter plane with homogeneous transition rates is considered. Given a non-negative reward function on the state space, we are interested in the expected stationary performance. Since a direct derivation of the stationary probability distribution is not available in general, the performance is approximated by a perturbed random walk, whose transition rates o...
متن کاملStationary random fields with linear regressions ∗
We analyze and identify stationary fields with linear regressions and quadratic conditional variances. We give sufficient conditions to determine one dimensional distributions uniquely as normal, and as certain compactly-supported distributions. Our technique relies on orthogonal polynomials, which under our assumptions turn out to be a version of the so called continuous q-Hermite polynomials.
متن کاملKernel density estimation for stationary random fields
HAL is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching and research institutions in France or abroad, or from public or private research centers. L’archive ouverte pluridisciplinaire HAL, est destinée au dépôt et à la diffusion de documents scientifiques de niveau...
متن کاملRandom Projection-Based Anderson-Darling Test for Random Fields
In this paper, we present the Anderson-Darling (AD) and Kolmogorov-Smirnov (KS) goodness of fit statistics for stationary and non-stationary random fields. Namely, we adopt an easy-to-apply method based on a random projection of a Hilbert-valued random field onto the real line R, and then, applying the well-known AD and KS goodness of fit tests. We conclude this paper by studying the behavior o...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2014
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2014.02.009