Prediction with incomplete past of a stationary process

被引：9

作者：

Bondon, P ^{[1
]}

机构：

[1] Ecole Super Elect, Signaux & Syst Lab, CNRS, UMR 8506, F-91192 Gif Sur Yvette, France

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2002年 / 98卷 / 01期

关键词：

prediction theory; stationary process; missing value problems; autoregressive; parameters; autoregressive representation;

D O I：

10.1016/S0304-4149(01)00116-8

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：

An explicit formula is obtained for the prediction error of a future value of a stationary process when the infinite past is altered by some missing observations with an arbitrary pattern. Then the autoregressive representation of the predictor is derived and the processes for which the missing observations in the past do not affect the prediction of a future value are characterized. Some properties for autoregressive processes and for moving average processes with finite orders are established. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：67 / 76

页数：10

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