ON DISPERSION OF STABLE RANDOM VECTORS AND ITS APPLICATION IN THE PREDICTION OF MULTIVARIATE STABLE PROCESSES

Authors
SOLTANI AR MOEANADDIN R
Citation
Ar. Soltani et R. Moeanaddin, ON DISPERSION OF STABLE RANDOM VECTORS AND ITS APPLICATION IN THE PREDICTION OF MULTIVARIATE STABLE PROCESSES, Journal of Applied Probability, 31(3), 1994, pp. 691-699
Citations number
11
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Applied Probability → ACNP
ISSN journal
00219002
Volume
31
Issue
3
Year of publication
1994
Pages
691 - 699
Database
ISI
SICI code
0021-9002(1994)31:3<691:ODOSRV>2.0.ZU;2-E
Abstract
Our aim in this article is to derive an expression for the best linear predictor of a multivariate symmetric alpha stable process based on m any past values. For this purpose we introduce a definition of dispers ion for symmetric alpha stable random vectors and choose the linear pr edictor which minimizes the dispersion of the error vector.