陶宗英,王式安.多维平稳序列与Rosenblatt推测的予报表示(英文)[J].数学研究及应用,1985,5(3):81~86
多维平稳序列与Rosenblatt推测的予报表示(英文)
The Prediction Expression of Multidimensional Stationary Sequence and Rosenblatt's Speculation
投稿时间:1983-01-31  
DOI:10.3770/j.issn:1000-341X.1985.03.020
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作者单位
陶宗英 上海交通大学 
王式安 北京工学院 
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中文摘要:
      
英文摘要:
      In this pape we obtain a linear predictor and its error for a multidimensional, discrete parameter, full-rank and regular stationary stochastic process (S. P.) having a spectral density matrix f(λ), which mets some conditions. An example which shows that Szego-Kolmogorov's Theorem for the prediction error with lag l in terms f(λ):σ12=2πexp{1/(2π)∫-xxlogf(λ)dλ},(1) can't be formally kept true in matrix form is given.
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