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Teoriya Veroyatnostei i ee Primeneniya, 1974, Volume 19, Issue 4, Pages 724–739
(Mi tvp3976)
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This article is cited in 3 scientific papers (total in 3 papers)
On asymptotic behaviour of the prediction error
B. L. Golinskii Khar'kov
Abstract:
Let $\{x_j\}$ be a wide sense stationary regular stochastic process with the sprectral density function $\varphi(x)$. Denote by $\sigma_n^2$ the mean square prediction error in predicting $x_0$ by linear forms in $x_{-1},x_{-2},\dots,x_{-n}$. Put $\delta_n=\sqrt{\sigma_n^2-\sigma^2}=\sqrt{\sigma_n^2-\sigma_\infty^2}$.
The rate of convergence $\delta_n\to0$ for different classes of spectral densities in regular and irregular (Jacobi's) cases is investigated.
Received: 23.04.1973
Citation:
B. L. Golinskii, “On asymptotic behaviour of the prediction error”, Teor. Veroyatnost. i Primenen., 19:4 (1974), 724–739; Theory Probab. Appl., 19:4 (1975), 693–709
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https://www.mathnet.ru/eng/tvp3976 https://www.mathnet.ru/eng/tvp/v19/i4/p724
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