Geodesic
An interpolation problem for multivariate stationary sequences
Kybernetika, Tome 36 (2000) no. 3, pp. 321-327

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Let {\boldmath$X$} and {\boldmath$Y$} be stationarily cross-correlated multivariate stationary sequences. Assume that all values of {\boldmath$Y$} and all but one values of {\boldmath$X$} are known. We determine the best linear interpolation of the unknown value on the basis of the known values and derive a formula for the interpolation error matrix. Our assertions generalize a result of Budinský [1].
Let {\boldmath$X$} and {\boldmath$Y$} be stationarily cross-correlated multivariate stationary sequences. Assume that all values of {\boldmath$Y$} and all but one values of {\boldmath$X$} are known. We determine the best linear interpolation of the unknown value on the basis of the known values and derive a formula for the interpolation error matrix. Our assertions generalize a result of Budinský [1].
Classification : 60G10, 60G25, 62H20, 62M20, 62M99
Keywords: linear interpolation 
Klotz, Lutz. An interpolation problem for multivariate stationary sequences. Kybernetika, Tome 36 (2000) no. 3, pp. 321-327. http://geodesic.mathdoc.fr/item/KYB_2000_36_3_a3/
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     language = {en},
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