Abstract
The object of this paper is to show that under certain auxiliary assumptions a stationary autoregressive sequence has a best predictor in mean square that is linear if and only if the sequence is minimum phase or is Gaussian when all moments are finite.
Citation
Murray Rosenblatt. "Prediction and Non-Gaussian Autoregressive Stationary Sequences." Ann. Appl. Probab. 5 (1) 239 - 247, February, 1995. https://doi.org/10.1214/aoap/1177004838
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