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Two prediction problems and extensions of a theorem of Szegö. (English) Zbl 0824.60039

By using an extension of a theorem of Szegö regarding minimization of norm of polynomials, a unified solution for prediction problems in the case when the infinite past was alternated is given.

MSC:

60G25 Prediction theory (aspects of stochastic processes)
60G10 Stationary stochastic processes
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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