Rosenblatt, M. Prediction for some non-Gaussian autoregressive schemes. (English) Zbl 0604.62092 Adv. Appl. Math. 7, 182-198 (1986). This paper considers non-Gaussian autoregressive schemes. The form of the best nonlinear predictor in mean square is determined in some special cases. Reviewer: H.Hietikko Cited in 1 Review MSC: 62M20 Inference from stochastic processes and prediction 60G25 Prediction theory (aspects of stochastic processes) Keywords:non-Gaussian autoregressive schemes; best nonlinear predictor; mean square PDFBibTeX XMLCite \textit{M. Rosenblatt}, Adv. Appl. Math. 7, 182--198 (1986; Zbl 0604.62092) Full Text: DOI References: [1] Erdös, P., On the smoothness properties of a family of Bernoulli convolutions, Amer. J. Math., 62, 180-186 (1940) · JFM 66.0511.02 [2] Garsia, A., Arithmetic properties of Bernoulli convolutions, Trans. Amer. Math. Soc., 102, 409-432 (1962) · Zbl 0103.36502 [3] Gaver, D. P.; Lewis, P. A.W, First order autoregressive gamma sequences and point processes, Adv. in Appl. Probab., 12 (1980) · Zbl 0453.60048 [4] Kanter, M., Lower bounds for nonlinear prediction error in moving-average processes, Ann. Probab., 7, 128-138 (1979) · Zbl 0405.60041 [5] M. Rosenblattin; M. Rosenblattin [6] Rosenblatt, M., Linear processes and bispectra, J. Appl. Probab., 17, 265-270 (1980) · Zbl 0423.60043 [7] Shepp, L.; Slepian, D.; Wyner, A., On prediction of moving average processes, Bell System Tech. J., 59, 367-415 (1980) · Zbl 0438.62073 This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.