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
收藏
页码：317 / 330
页数：14
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