Best Approximations in Lp (d ) and Prediction Problems of Szeg, Kolmogorov, Yaglom, and Nakazi
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For a non-negative weight function W we prove a general prediction theorem which for a sub-space M Lp(w), 1< p <, and h Lprovides formulae expressing inffM||h-f||p, wand PMh (metric projection) in terms of inffM||h-f||q, wand PNh, where N (related to M) is a subspace of Lq(W8), 1/p+1/q=1 and s = - l/(p- 1). It is shown that this general prediction theorem subsumes and generalizes to p 2 the prediction theorems of Szego (1918), Kolmogorov (1941), Yaglom (1963), and Nakazi (1984). 1988 Oxford University Press.