Optimal Linear Filtering and Smoothing for a Discrete Time Stable Linear Model

Properties of conditional expectation and metric projection for multivariate symmetric stable distributions are studied. Linear filtering, smoothing, and prediction problems for a discrete time stable linear model with constant coefficients are solved.

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Year of publication:	1994
Authors:	Rutkowski, M.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 50.1994, 1, p. 68-92
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005152897