Multivariate Prediction, de Branges Spaces, and Related Extension and Inverse Problems

Category: E-Book | Comment: 0

http://i105.fastpic.ru/big/2018/0606/b3/9194082b2527bd5deaf76f15b624e0b3.jpg
Multivariate Prediction, de Branges Spaces, and Related Extension and Inverse Problems by Damir Z. Arov
English | PDF | 2018 | 416 Pages | ISBN : 3319702610 | 3.95 MB


This monograph deals primarily with the prediction of vector valued stochastic processes that are either weakly stationary, or have weakly stationary increments, from finite segments of their past. The main focus is on the analytic counterpart of these problems, which amounts to computing projections onto subspaces of a Hilbert space of p x 1 vector valued functions with an inner product that is defined in terms of the p x p matrix valued spectral density of the process.
Download Now