Accession Number : ADA189280
Title : Predicting Transforms of Stable Noise and other Gaussian Mixtures.
Descriptive Note : Technical rept. Sep 85-30 Sep 86,
Corporate Author : NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES
Personal Author(s) : LePage, Raoul
PDF Url : ADA189280
Report Date : Jul 1987
Pagination or Media Count : 43
Abstract : Stationary stable processes that are Fourier transforms of symmetric stable independent increments processes are shown to have a.s. finite conditional expectation of X sub t given X sub s and conditional variance of X sub t given X sub(t - delta), X sub(t -2 delta). The associated conditional expectation predictors are nonlinear in (X sub s, st) but are mixtures of predictors of the usual type based on the Gaussian model.
Descriptors : *FOURIER TRANSFORMATION, *STATISTICAL PROCESSES, *GAUSSIAN NOISE, MIXTURES, STABILITY, COVARIANCE, MATHEMATICAL PREDICTION
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE