Wavelet methods for continuous-time prediction using Hilbert-valued autoregressive processes
نویسندگان
چکیده
منابع مشابه
Wavelet methods for continuous-time prediction using Hilbert-valued autoregressive processes
We consider the prediction problem of a continuous-time stochastic process on an entire time-interval in terms of its recent past. The approach we adopt is based on the notion of autoregressive Hilbert processes that represent a generalization of the classical autoregressive processes to random variables with values in a Hilbert space. A careful analysis reveals, in particular, that this approa...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2003
ISSN: 0047-259X
DOI: 10.1016/s0047-259x(03)00028-9