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On dispersion of stable random vectors and its application in the prediction of multivariate stable processes

Published online by Cambridge University Press:  14 July 2016

A. Reza Soltani
Affiliation:
Shiraz University, Iran
R. Moeanaddin*
Affiliation:
Shiraz University, Iran
*
Postal address for both authors: Department of Statistics, Faculty of Sciences, Shiraz University, Shiraz 71454, Iran.

Abstract

Our aim in this article is to derive an expression for the best linear predictor of a multivariate symmetric α stable process based on many past values. For this purpose we introduce a definition of dispersion for symmetric α stable random vectors and choose the linear predictor which minimizes the dispersion of the error vector.

MSC classification

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 1994 

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