Geodesic
An interpolation problem for multivariate stationary sequences
Kybernetika, Tome 36 (2000) no. 3, p. [321]

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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].
Classification : 60G10, 60G25, 62H20, 62M20, 62M99
Keywords: linear interpolation 
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     author = {Klotz, Lutz},
     title = {An interpolation problem for multivariate stationary sequences},
     journal = {Kybernetika},
     pages = {[321]},
     publisher = {mathdoc},
     volume = {36},
     number = {3},
     year = {2000},
     mrnumber = {1773507},
     zbl = {1243.62124},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2000__36_3_a3/}
}
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Klotz, Lutz. An interpolation problem for multivariate stationary sequences. Kybernetika, Tome 36 (2000) no. 3, p. [321]. http://geodesic.mathdoc.fr/item/KYB_2000__36_3_a3/