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In this paper we obtain a linear predictor and its error for a multidimensional,discrete parameter, full-rank and regular stationary stochastic process (S.P.) having a spectral density matrix f(λ), which mets some conditions. An example which shows that Szeg(?)-Kolmogorov's Theorem for the prediction error with lag 1 in terms f(λ): (1) ean't be formally kept true in matrix form is given. 相似文献
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In this pape we obtain a linear predictor and its error for a multidimensional, discrete parameter, full-rank and regular stationary stochastic process (S. P.) having a spectral density matrix f(λ), which mets some conditions. An example which shows that Szego-Kolmogorov's Theorem for the prediction error with lag l in terms f(λ):σ12=2πexp{1/(2π)∫-xxlogf(λ)dλ},(1) can't be formally kept true in matrix form is given. 相似文献
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