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This article is cited in 2 scientific papers (total in 2 papers)
Short Communications
On the asymptotic behaviour of the prediction error in the singular case
N. Ì. Âàbàyàn
Leningrad
Abstract:
Let $\{X_j\}$ be a singular stationary in a wide sense stochastic process with the spectral
density function $f(\lambda)$. Denote by $\sigma_n^2$ the mean square prediction error for the prediction
of $X_0$ by linear forms depending on $X_{-1}, X_{-2},…X_{-n}$. The rate of convergence $\delta_n=\sigma_n^2-\sigma_\infty^2\downarrow 0$, $n\uparrow\infty$, is investigated.
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Theory of Probability and its Applications, 1985, 29:1, 147–150
Bibliographic databases:
  
Received: 10.04.1981
Citation:
N. Ì. Âàbàyàn, “On the asymptotic behaviour of the prediction error in the singular case”, Teor. Veroyatnost. i Primenen., 29:1 (1984), 147–150; Theory Probab. Appl., 29:1 (1985), 147–150
Citation in format AMSBIB
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\jour Theory Probab. Appl.
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\pages 147--150
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http://mi.mathnet.ru/eng/tvp1981 http://mi.mathnet.ru/eng/tvp/v29/i1/p147
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A. L. Bunich, “Control cost for a discrete linear object under uncertainty about the spectral composition of perturbances”, Autom. Remote Control, 73:12 (2012), 2038–2048
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