Innovations and Wold decompositions of stable sequences |
| |
| Authors: | Stamatis Cambanis Clyde D Hardin Jr Aleksander Weron |
| |
| Institution: | (1) Center for Stochastic Processes, Department of Statistics, University of North Carolina, 27599-3260 Chapel Hill, NC, USA;(2) Present address: The Analytic Sciences Corporation, 55 Walkers Brook Drive, 01867 Reading, MA, USA;(3) Present address: the Institute of Mathematics, Technical University, 50-370 Wroclaw, Poland |
| |
| Abstract: | Summary For symmetric stable sequences, notions of innovation and Wold decomposition are introduced, characterized, and their ramifications in prediction theory are discussed. As the usual covariance orthogonality is inapplicable, the non-symmetric James orthogonality is used. This leads to right and left innovations and Wold decompositions, which are related to regression prediction and least p
th moment prediction, respectively. Independent innovations and Wold decompositions are also characterized; and several examples illustrating the various decompositions are presented.Research supported by the Air Force Office of Scientific Research Contract F49620 82 C 0009 |
| |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ |
|
