Alternating projections and interpolation of stationary processes Academic Article uri icon


  • By using the alternating projection theorem of J. von Neumann, we obtain explicit formulae for the best linear interpolator and interpolation error of missing values of a stationary process. These are expressed in terms of multistep predictors and autoregressive parameters of the process. The key idea is to approximate the future by a finite-dimensional space.

published proceedings

  • Journal of Applied Probability

author list (cited authors)

  • Pourahmadi, M.

citation count

  • 8

complete list of authors

  • Pourahmadi, Mohsen

publication date

  • December 1992