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On reduction of two-parameter prediction problems

J. FriedrichL. KlotzM. Riedel — 1995

Studia Mathematica

We present a general method for the extension of results about linear prediction for q-variate weakly stationary processes on a separable locally compact abelian group G 2 (whose dual is a Polish space) with known values of the processes on a separable subset S 2 G 2 to results for weakly stationary processes on G 1 × G 2 with observed values on G 1 × S 2 . In particular, the method is applied to obtain new proofs of some well-known results of Ze Pei Jiang.

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