Abstract
We provide a characterisation of Gaussian time series which optimise the one-step prediction error subject to the covariance sequence being completely monotone with the first $m$ covariances specified.
Citation
Ross McVinish. "Optimising prediction error among completely monotone covariance sequences." Electron. Commun. Probab. 13 113 - 120, 2008. https://doi.org/10.1214/ECP.v13-1355
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