Authors
Citation
Murray, Rosenblatt, Prediction and Non-Gaussian Autoregressive Stationary Sequences, Annals of applied probability , 5(1), 1995, pp. 239-247
Journal title
ISSN journal
10505164
Volume
5
Issue
1
Year of publication
1995
Pages
239 - 247
Database
ACNP
SICI code
Abstract
The object of this paper is to show that under certain auxiliary assumptions a stationary autoregressive sequence has a best predictor in mean square that is linear if and only if the sequence is minimum phase or is Gaussian when all moments are finite.