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The optimal forecasting for the multinomial scheme with disorder
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Omar Glonti
Published/Copyright:
June 22, 2010
Abstract
Stochastic processes with discrete time are considered which are described by one multinomial scheme until the random disorder moment and by another one, after the disorder moment. The problems of optimal in mean square sense filtering and interpolation of disorder moment are investigated and the forecasting estimate for this process is found.
Keywords.: Stochastic process with disorder; multinomial scheme; optimal filtering; interpolation and forecasting
Received: 2007-08-10
Revised: 2009-09-10
Published Online: 2010-06-22
Published in Print: 2010-June
© de Gruyter 2010
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Keywords for this article
Stochastic process with disorder;
multinomial scheme;
optimal filtering;
interpolation and forecasting
Articles in the same Issue
- The optimal forecasting for the multinomial scheme with disorder
- On equivariant disconnected rational homotopy theory
- Distortion of the Grötzsch–Belinskii type for generalized quasiconformal mappings
- Approximation by Bézier variant of the Szász–Kantorovich operators in case α < 1
- On a class of bases of the space of cusp forms of level 8
- Coincidence and fixed points for hybrid tangential maps
- Some nonlocal problems for second order strictly hyperbolic systems on the plane
- Complete anti-analytic continuation of analytic functions
- On the operad of associative algebras with derivation
- A boundary value problem on the whole line to second order nonlinear differential equations
- Blackbox computation of A∞-algebras
- The existence and boundedness of square functions on generalized Orlicz–Campanato spaces
