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On the geometry of Lp (μ) with applications to infinite variance processes

Part of: Stochastic processes Normed linear spaces and Banach spaces; Banach lattices

Published online by Cambridge University Press:  09 April 2009

R. Cheng ,
A. G. Miamee  and
M. Pourahmadi
R. Cheng
Affiliation:
ECI Systems and Engineering 596 Lynnhaven Parkway Virginia Beach, VA 23452USA e-mail: rayc@ecihq.com
A. G. Miamee
Affiliation:
Department of Mathematics Hampton UniversityHampton, VA 23668USA e-mail: abolghassem.miamee@hamptonu.edu
M. Pourahmadi
Affiliation:
Division of Statistics Northern Illinois UniversityDeKalb, Ill. 60115USA e-mail: pourahm@math.niu.edu
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Abstract

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Some geometric properties of Lp spaces are studied which shed light on the prediction of infinite variance processes. In particular, a Pythagorean theorem for Lp is derived. Improved growth rates for the moving average parameters are obtained.

MSC classification

Secondary: 60G25: Prediction theory 46B25: Classical Banach spaces in the general theory
Type
Research Article
Information
Journal of the Australian Mathematical Society , Volume 74 , Issue 1 , February 2003 , pp. 35 - 42
Copyright
Copyright © Australian Mathematical Society 2003

References

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