3 papers
math.PR2008
Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2
Akihiko Inoue, Yukio Kasahara, Punam Phartyal
The aim of this paper is to prove an analogue of Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2. This inequality is concerned with…
math.PR2007
Applications of a finite-dimensional duality principle to some prediction problems
Yukio Kasahara, Mohsen Pourahmadi, Akihiko Inoue
Some of the most important results in prediction theory and time series analysis when finitely many values are removed from or added to its infinite past have been obtained using d…
math.ST2004
Explicit representation of finite predictor coefficients and its applications
Akihiko Inoue, Yukio Kasahara
We consider the finite-past predictor coefficients of stationary time series, and establish an explicit representation for them, in terms of the MA and AR coefficients. The proof i…