Naslov
On one-step extrapolation error of vector time series

Autori
Poganj, Tibor

Izvornik
Bulletin of Kerala Mathematics Association (0973-2721) 16 (2019), 2; 57-64

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Finite predictor ; Singular stochastic process ; Vector stochastic process ; Cross-spectral density ; One-step extrapolation

Sažetak
The asymptotic of the mean-square prediction error is studied for vector weakly stationary time series when the spectral densities of coordinate processes vanish on an interval of positive Lebesgue measure in the so-called on-step extrapolation procedure. We show that the convergence rate of the prediction error approaches zero exponentially, similarly as in the scalar case.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Informacijske i komunikacijske znanosti

POVEZANOST RADA