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On Stochastic Approximation for Random Processes with Continuous Time

✍ Scribed by Krasulina, T. P.


Book ID
118225643
Publisher
Society for Industrial and Applied Mathematics
Year
1971
Tongue
English
Weight
522 KB
Volume
16
Category
Article
ISSN
0040-585X

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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