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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
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.
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- Copyright © Applied Probability Trust 1994
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