On reduction of two-parameter prediction problems

J. Friedrich; L. Klotz; M. Riedel

ArticleOriginal scientific text

Title

On reduction of two-parameter prediction problems

Authors ¹, ¹, ¹

Affiliations

Fachbereich Mathematik/Informatik, Universität Leipzig 04109, Leipzig, Germany

Abstract

We present a general method for the extension of results about linear prediction for q-variate weakly stationary processes on a separable locally compact abelian group

G_{2}

(whose dual is a Polish space) with known values of the processes on a separable subset

S_{2} \subseteq G_{2}

to results for weakly stationary processes on

G_{1} \times G_{2}

with observed values on

G_{1} \times S_{2}

. In particular, the method is applied to obtain new proofs of some well-known results of Ze Pei Jiang.

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Title

On reduction of two-parameter prediction problems

Affiliations

Abstract

Bibliography