Mohammadi, Mohammad; Mohammadpour, Adel - In: Statistics & Probability Letters 79 (2009) 21, pp. 2266-2272
The best linear prediction for [alpha]-stable random processes based on some past values is presented. The prediction is the best with respect to a criterion known as stable covariation. The minimum stable covariations can be considered as the smallest error tail probabilities. The predictor...