Prediction of stable processes: Spectral and moving average representations
Probability Theory and Related Fields(2013)
摘要
For 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.
更多查看译文
关键词
stable process,moving average,fourier transform
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要