Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145708 | Journal of Multivariate Analysis | 2014 | 15 Pages |
Abstract
This article deals with linear prediction in large dimensions. One obtains various explicit forms of the best linear predictor in a Hilbert space. The difficulty comes from the fact that the associated linear operator is, in general, not continuous. Applications to ARMAH processes, models with noise and Bayesian estimators are considered.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
D. Bosq,