RECENT TRENDS IN MULTIVARIATE PREDICTION THEORY
Abstract
The paper surveys the present state of the theory of linear, least squares prediction of -variate weakly stationary stochastic processes with discrete time. The emphasis is on logical order. Hence recent developments are described within the context of a general theory rather than chronologically. Methods for computing the predictor are briefly discussed, but purely statistical questions such as the estimation of covariances are omitted.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jan 01, 1966
- Accession Number
- AD0630756
Entities
People
- P. Masani
Organizations
- University of Wisconsin–Madison