Alternating projections and interpolation of stationary processes
Keyword(s):
By using the alternating projection theorem of J. von Neumann, we obtain explicit formulae for the best linear interpolator and interpolation error of missing values of a stationary process. These are expressed in terms of multistep predictors and autoregressive parameters of the process. The key idea is to approximate the future by a finite-dimensional space.
1992 ◽
Vol 29
(04)
◽
pp. 921-931
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2005 ◽
Vol 02
(03)
◽
pp. 251-258
2016 ◽
Vol 3
(4)
◽
pp. 400-410
◽
1985 ◽
Vol 37
(1)
◽
pp. 160-192
◽
Keyword(s):
1973 ◽
Vol 10
(03)
◽
pp. 502-509
◽