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 language | English |
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Pages (from-to) | 410-431 |
Number of pages | 22 |
Journal | Kybernetika |
Volume | 56 |
Issue number | 3 |
DOIs | |
State | Published - 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