Prediction of stable processes: Spectral and moving average representations
Prediction of stable processes: Spectral and moving average representations
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稳定过程的预测：谱和移动平均表示
DOI：
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发表时间：
1984
期刊：
影响因子：
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通讯作者：
A. Soltani
中科院分区：
文献类型：
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作者：
S. Cambanis;A. Soltani
对于具有独立增量的过程的傅里叶变换的稳定过程，我们得到了Wold分解，刻画了它们的正则性和奇异性，并且在离散参数的情况下，我们得到了它们的线性预报器。与高斯情形形成鲜明对比的是，规则稳定过程是具有独立增量的过程的傅里叶变换，而不是稳定运动的移动平均。
SummaryFor stable processes which are Fourier transforms of processes with independent increments, we obtain a Wold decomposition, we characterize their regularity and singularity, and, in the discrete-parameter case, we derive their linear predictors. In sharp contrast with the Gaussian case, regular stable processes which are Fourier transforms of processes with independent increments are not moving averages of stable motion.