Article ID Journal Published Year Pages File Type
1145708 Journal of Multivariate Analysis 2014 15 Pages PDF
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
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