Prediction problems and Hunt–Muckenhoupt–Wheeden condition
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 3, Tome 260 (1999), pp. 73-83
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Let $x[{\cdot}]$ be a process stationary in the wide sense and having spectral density $f$. We find conditions (formulated in spectral terms) under which a construction of an asymptotically optimal (in a proper sense) prediction is stable with respect to deformations of the spectral density $f$.
@article{ZNSL_1999_260_a4,
author = {V. N. Solev and Ch. Bulot},
title = {Prediction problems and {Hunt{\textendash}Muckenhoupt{\textendash}Wheeden} condition},
journal = {Zapiski Nauchnykh Seminarov POMI},
pages = {73--83},
year = {1999},
volume = {260},
language = {en},
url = {http://geodesic.mathdoc.fr/item/ZNSL_1999_260_a4/}
}
V. N. Solev; Ch. Bulot. Prediction problems and Hunt–Muckenhoupt–Wheeden condition. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 3, Tome 260 (1999), pp. 73-83. http://geodesic.mathdoc.fr/item/ZNSL_1999_260_a4/