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Ladder variables for a continuous time stochastic process

โœ Scribed by N. U. Prabhu


Publisher
Springer
Year
1970
Tongue
English
Weight
323 KB
Volume
16
Category
Article
ISSN
1432-2064

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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