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Non-linear predictors of transformed stationary processes
Published online by Cambridge University Press: 22 January 2016
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One of the authors discussed the best non-linear predictor of the process X(t) = f(U(t)), which is obtained by transforming an Ornstein-Uhlenbeck process U(t) with a measurable function f(u) (see [5]).
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- Research Article
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- Copyright © Editorial Board of Nagoya Mathematical Journal 1984
References
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Lee, Sheu-San,
Non-linear prediction problems for Ornstein-Uhlenbeck process, Nagoya Math. J., 91 (1983), 173–183.CrossRefGoogle Scholar
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McKean, H. P., Elementary solutions for certain parabolic partial differential equations, Trans. Amer. Math. Soc, 82 (1956), 519–548.CrossRefGoogle Scholar
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