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KIAM Preprint № 58, Moscow, 2011
Authors: Pustyl'nikov L. D.
Quasistationary processes and their prediction
The theory of quasistationary processes and their prediction, generalizing the corresponding classical theory for stationary processes is constructed. For important class of such processes the explicit expressions of prediction in term of finite preceding values are found. To calculate these expressions one can perform O(r log2r) or O(r) arithmetic operations, where r is the number of preceding values.
Publication language: russian, pages: 14
Research direction:
Mathematical problems and theory of numerical methods
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