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IMA Journal of Mathematical Control and Information 1988 5(1):69-75; doi:10.1093/imamci/5.1.69
© 1988 by Institute of Mathematics and its Applications
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Group Actions on Linear Predictors for Nonstationary Processes

YOSHIMASA NAKAMURA

Department of Mathematics, Faculty of Education, Gifu University Gifu 501–11, Japan

A group-theoretic structure of linear predictors for nonstationary processes is discussed. It is shown that a fractional transformation group which is defined by a Bruhat decomposition of Lie group SL(N, R) acts on the space of linear predictors. Parametric linear predictors are obtained explictly as representations of four classes of fractional transformations.


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