PREDICTION AND SIGNAL EXTRACTION OF STRONGLY DEPENDENT PROCESSES IN THE FREQUENCY DOMAIN
强依赖过程的频域预测与信号提取
We frequently observe that one of the aims of time series analysts is to predict future values of the data. For weakly dependent data, when the model is known up to a finite set of parameters, its statistical properties are well documented and exhaustively examined. However, if the model was misspecified, the predictors would no longer be correct. Motivated by this observation and because of the interest in obtaining adequate and reliable predictors, Bhansali (1974, Journal…