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Predictability time limit of autoregressive processes

✍ Scribed by S. N. Moiseev


Book ID
111510879
Publisher
Allerton Press Inc
Year
2007
Tongue
English
Weight
136 KB
Volume
43
Category
Article
ISSN
8756-6990

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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 vari