𝔖 Bobbio Scriptorium
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Continuous path approximations to measurable stochastic processes

✍ Scribed by Alan J Lee


Book ID
107800483
Publisher
Elsevier Science
Year
1977
Tongue
English
Weight
298 KB
Volume
61
Category
Article
ISSN
0022-247X

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In this paper, a linear model for forecasting a continuous-time stochastic process in a future interval in terms of its evolution in a past interval is developed. This model is based on linear regression of the principal components in the future against the principal components in the past. In order