Time Domain Interpolation Algorithm for Innovations of Discrete Time Multivariate Stationary Processes

被引：3

作者：

Soltani, A. R. ^{[1
,2
]}

Mohammadpour, M. ^{[3
]}

机构：

[1] Kuwait Univ, Fac Sci, Dept Stat & Operat Res, Safat 13060, Kuwait

[2] Shiraz Univ, Coll Sci, Dept Stat, Shiraz, Iran

[3] Univ Mazandaran, Fac Basic Sci, Dept Stat, Babol Sar, Iran

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2009年 / 27卷 / 02期

关键词：

Innovation; Interpolation; Multivariate stationary sequences; von Neumann's alternating projection formula; STOCHASTIC PROCESSES; PREDICTION THEORY;

D O I：

10.1080/07362990802678911

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Time domain calculus of Wiener and Masani together with the von Neumann's alternating projection formula are employed to obtain a time domain algorithm for the best linear interpolator of unrecorded innovations in discrete time multivariate second order stationary processes. From the interpolated innovations of a multivariate discrete-time ARMA process we indicate how to compute interpolated values of the process itself.

引用

页码：317 / 330

页数：14

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