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Innovation processes associated with stationary Gaussian processes with application to the problem of prediction
1978
Nagoya mathematical journal
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As a continuation of the previous paper [7], we shall consider in this paper the problem of prediction given bounded intervals and obtain integral representations of predictors and prediction errors. For that purpose we shall introduce innovation processes well matched with bounded intervals. We follow the notation and terminology in [6].
doi:10.1017/s0027763000021796
fatcat:6zch2vyw7jdxbfg55yxiakycvm