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- W73677885 abstract "In the classical Wiener-Kolmogorov prediction problem, one fixes a functional of the “future” and seeks its best predictor (in the L 2-sense). In this paper we treat a variant of this problem, whereby we seek the “most predictable” non-trivial functional of the future and its best predictor. In contrast to the Wiener-Kolmogorov problem, our problem may not have solutions, and if solutions exist, they might not be unique. We prove the existence of solutions for linear functionals under appropriate conditions on the spectral function of weakly stationary, continuous-time processes." @default.
- W73677885 created "2016-06-24" @default.
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- W73677885 date "1998-01-01" @default.
- W73677885 modified "2023-10-15" @default.
- W73677885 title "Optimal Transformations for Prediction in Continuous-Time Stochastic Processes" @default.
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- W73677885 doi "https://doi.org/10.1007/978-1-4612-2030-5_9" @default.
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