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

Part of: Stochastic processes

Published online by Cambridge University Press:  14 July 2016

A. Reza Soltani  and
R. Moeanaddin
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.
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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.

Keywords

BEST LINEAR PREDICTORMULTIVARIATE STABLE PROCESSESSPECTRAL MEASURESYMMETRIC α-STABLE ARMA PROCESSES

MSC classification

Primary: 60G25: Prediction theory
Type
Research Papers
Information
Journal of Applied Probability , Volume 31 , Issue 3 , September 1994 , pp. 691 - 699
Copyright
Copyright © Applied Probability Trust 1994 

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