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Prediction and Moments

  • Murray Rosenblatt

Abstract

Consider a random variable X, E X2 <∞, that we wish to approximate (or predict) by a random variable Y belonging to a linear space of random variables H with finite second moments that is closed in the sense of mean square convergence. The following result is useful.

Keywords

Spectral Density Random Field Unit Disc Stationary Sequence Moment Problem 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Birkhäuser Boston, Inc. 1985

Authors and Affiliations

  • Murray Rosenblatt
    • 1
  1. 1.Department of MathematicsUniversity of California, San DiegoLa JollaUSA

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