EMPIRICAL NONLINEAR PREDICTION AND POLYSPECTRA.
STANFORD UNIV CALIF DEPT OF STATISTICS
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The classical linear prediction problem has received much attention both theoretically and empirically in the past few decades and a great deal is known about it though there remain important open questions. The nonlinear prediction problem is much more difficult and much less is known about it. The present paper discusses a means of obtaining certain two-sided nonlinear predictors of a stationary process Xt,w given a jointly stationary process Yt,w. Author
- Statistics and Probability