ALTERNATING PROJECTIONS AND INTERPOLATION OF STATIONARY-PROCESSES

被引：11

作者：

POURAHMADI, M

机构：

来源：

JOURNAL OF APPLIED PROBABILITY | 1992年 / 29卷 / 04期

关键词：

MISSING VALUES; PREDICTION AND INTERPOLATION;

D O I：

10.2307/3214724

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

By using the alternating projection theorem of J. von Neumann, we obtain explicit formulae for the best linear interpolator and interpolation error of missing values of a stationary process. These are expressed in terms of multistep predictors and autoregressive parameters of the process. The key idea is to approximate the future by a finite-dimensional space.

引用

页码：921 / 931

页数：11

共 50 条

[1] ROBUST PREDICTION AND INTERPOLATION FOR VECTOR STATIONARY-PROCESSES
TSAKNAKIS, H
KAZAKOS, D
PAPANTONIKAZAKOS, P
[J]. PROBABILITY THEORY AND RELATED FIELDS, 1986, 72 (04) : 589 - 602
[2] NONPARAMETRIC INTERPOLATION AND PREVISION FOR STATIONARY-PROCESSES NOT NECESSARILY MARKOVIAN
RHOMARI, N
[J]. COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE, 1991, 313 (05): : 325 - 328
[3] LINEAR INTERPOLATION OF STATIONARY-PROCESSES FROM THE SIGNS OF THEIR DERIVATIVES
ABRAHAMS, J
[J]. JOURNAL OF THE FRANKLIN INSTITUTE-ENGINEERING AND APPLIED MATHEMATICS, 1985, 319 (04): : 431 - 441
[4] RANDOM STATIONARY-PROCESSES
ALEXANDER, KS
KALIKOW, SA
[J]. ANNALS OF PROBABILITY, 1992, 20 (03): : 1174 - 1198
[5] SUBORDINATION OF STATIONARY-PROCESSES
WILLEKENS, E
TEUGELS, JL
[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1987, 26 (02) : 205 - 205
[6] ON ALTERNATING PROJECTIONS THEOREM AND BIVARIATE STATIONARY STOCHASTIC PROCESSES
SALEHI, H
[J]. TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY, 1967, 128 (01) : 121 - &
[7] ON EXTREMAL THEORY FOR STATIONARY-PROCESSES
ALBIN, JMP
[J]. ANNALS OF PROBABILITY, 1990, 18 (01): : 92 - 128
[8] SOJOURNS AND EXTREMES OF STATIONARY-PROCESSES
BERMAN, SM
[J]. ANNALS OF PROBABILITY, 1982, 10 (01): : 1 - 46
[9] CONDITIONAL EXPECTATIONS OF STATIONARY-PROCESSES
SCARPELLINI, B
[J]. ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1981, 56 (04): : 427 - 441
[10] CONTROLLING MEANS OF STATIONARY-PROCESSES
FRANZKOWSKI, R
[J]. QUALITY PROGRESS, 1984, 17 (02) : 52 - 52

← 1 2 3 4 5 →