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Optimising prediction error among completely monotone covariance sequences

   
@article{ECP1355,
	author = {Ross McVinish},
	title = {Optimising prediction error among completely monotone covariance sequences},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {13},
	year = {2008},
	keywords = {aggregation; maximum entropy; moment space},
	abstract = {We provide a characterisation of Gaussian time series which optimise the one-step prediction error subject to the covariance sequence being completely monotone with the first m covariances specified.},
	pages = {no. 11, 113-120},
	issn = {1083-589X},
	doi = {10.1214/ECP.v13-1355},    
        url = {http://ecp.ejpecp.org/article/view/1355}}