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Optimising prediction error among completely monotone covariance sequences


 
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1. Title Title of document Optimising prediction error among completely monotone covariance sequences
 
2. Creator Author's name, affiliation, country Ross S McVinish; Queensland University of Technology
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) aggregation; maximum entropy; moment space
 
3. Subject Subject classification 60G25; 44A60
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) ARC Centre for Complex Dynamic Systems and Control CEO348165.
 
7. Date (YYYY-MM-DD) 2008-03-02
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1355
 
10. Identifier Digital Object Identifier 10.1214/ECP.v13-1355
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 13
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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