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Non-linear predictors of transformed stationary processes
Published online by Cambridge University Press: 22 January 2016
Extract
One of the authors discussed the best non-linear predictor of the process X(t) = f(U(t)), which is obtained by transforming an Ornstein-Uhlenbeck process U(t) with a measurable function f(u) (see [5]).
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- Research Article
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- Copyright © Editorial Board of Nagoya Mathematical Journal 1984