Estimating the conditional expectations for continuous time stationary processes

Gusztáv Morvai, Benjamin Weiss

Research output: Contribution to journalArticlepeer-review

2 Scopus citations

Abstract

One of the basic estimation problems for continuous time stationary processes Xt, is that of estimating E{Xt+β|Xs : s ∈ [0,t]} based on the observation of the single block {Xs : s ∈ [0,t]} when the actual distribution of the process is not known. We will give fairly optimal universal estimates of this type that correspond to the optimal results in the case of discrete time processes.

Original languageEnglish
Pages (from-to)410-431
Number of pages22
JournalKybernetika
Volume56
Issue number3
DOIs
StatePublished - 2020

Bibliographical note

Publisher Copyright:
© 2020 Institute of Information Theory and Automation of The Czech Academy of Sciences. All rights reserved.

Keywords

  • Continuous time stationary processes
  • Nonparametric estimation

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