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 Electronic Communications in Probability > Vol. 13 (2008) > Paper 11 open journal systems 


Optimising prediction error among completely monotone covariance sequences

Ross S McVinish, Queensland University of Technology


Abstract
We provide a characterisation of Gaussian time series which optimise the one-step prediction error subject to the covariance sequence being completely monotone with the first m covariances specified.


Full text: PDF

Pages: 113-120

Published on: March 2, 2008
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Electronic Communications in Probability. ISSN: 1083-589X