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

Covariance Hone 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Birkhäuser Boston, Inc. 1985

Authors and Affiliations

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

Personalised recommendations