The Helson-Sarason-Szeg theorem and the Abel summability of the series for the predictor Academic Article uri icon

abstract

  • It is shown that the best linear least squares predictor of a stationary stochastic process has a mean Abel summable series representation in the time domain if its density satisfies the condition of the Helson-Sarason- Szego theorem. This provides an answer to an open question of Wiener and Masani (1958) in prediction theory. 1984 American Mathematical Society.

published proceedings

  • Proceedings of the American Mathematical Society

author list (cited authors)

  • Pourahmadi, M.

citation count

  • 4

complete list of authors

  • Pourahmadi, Mohsen

publication date

  • January 1, 1984 11:11 AM