RECENT TRENDS IN MULTIVARIATE PREDICTION THEORY
Technical summary rept.
WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER
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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.
- Statistics and Probability