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