Prediction theory in continuous time
Probability
2021-11-17 v1 Statistics Theory
Statistics Theory
Abstract
We consider prediction theory for stationary stochastic processes in continuous time. We discuss prediction using the whole (infinite) past, and using only a finite section of the past. The solutions to both these classical problems have long been known. Our focus is to provide short simple proofs which reveal the probabilistic meaning of the results.
Cite
@article{arxiv.2111.08560,
title = {Prediction theory in continuous time},
author = {N. H. Bingham},
journal= {arXiv preprint arXiv:2111.08560},
year = {2021}
}
Comments
Dedicated to John Kingman