Estimating the conditional expectations for continuous time stationary processes

Morvai, Gusztáv and Weiss, Benjamin (2020) Estimating the conditional expectations for continuous time stationary processes. KYBERNETIKA, 56 (3). pp. 410-431. ISSN 0023-5954

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Abstract

One of the basic estimation problems for continuous time stationary processes Xt, is that of estimating E{Xt+β|Xs:s∈[0,t]} based on the observation of the single block {Xs:s∈[0,t]} when the actual distribution of the process is not known. We will give fairly optimal universal estimates of this type that correspond to the optimal results in the case of discrete time processes.

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