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Keywords:
nonparametric estimation; continuous time stationary processes
nonparametric estimation; continuous time stationary processes
Summary:
One of the basic estimation problems for continuous time stationary processes $X_t$, is that of estimating $E\{X_{t+\beta}| X_s : s \in [0, t]\}$ based on the observation of the single block $\{X_s : s \in [0, t]\}$ when the actual distribution of the process is not known. We will give fairly optimal universal estimates of this type that correspond to the optimal results in the case of discrete time processes.
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