The Annals of Probability

Approximation of the Finite Prediction for a Weakly Stationary Process

Akio Arimoto

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Abstract

Let $w$ be the spectral density function of a weakly stationary stochastic process with $w = |h|^2, h$ being an outer function in the upper half plane, and let $\rho^\ast(a) = \operatorname{dist}(e^{ita}h/\bar{h}, H^\infty)$, where $H^\infty$ is the space of boundary functions on $R$ for bounded analytic functions in the upper half plane. It is shown that the standard deviation of the difference between the infinite predictor and the finite predictor from the past of length $T$ does not exceed $\rho^\ast(T)/(1 - \rho^\ast(T))$ times the prediction error of the infinite predictor. Some other estimates relating to the difference between the infinite predictor and the finite predictor are also discussed.

Article information

Source
Ann. Probab., Volume 16, Number 1 (1988), 355-360.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176991907

Digital Object Identifier
doi:10.1214/aop/1176991907

Mathematical Reviews number (MathSciNet)
MR920277

Zentralblatt MATH identifier
0641.60049

JSTOR
links.jstor.org

Subjects
Primary: 60G25: Prediction theory [See also 62M20]
Secondary: 60M20

Keywords
Finite prediction stationary process $H^\infty$ + BUC

Citation

Arimoto, Akio. Approximation of the Finite Prediction for a Weakly Stationary Process. Ann. Probab. 16 (1988), no. 1, 355--360. doi:10.1214/aop/1176991907. https://projecteuclid.org/euclid.aop/1176991907


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