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Determining the form of the mean of a stochastic process


  • Spruill, Carl


Let [mu] be the mean function of an observable stochastic process whose sample paths fall in some Banach space with a basis and assume [mu] is also in this space. A procedure like Cover's (Ann. Statist.1, 862-871, 1973) is given which has the property that if the last nonzero coordinate of [mu] is the mth then with probability one this is discovered after at most a finite number of erros. If [mu] has an infinite number of nonzero coordinates, then with probability one this is discovered after at most a finite number of errors except for a set of [mu] of prior probability zero.

Suggested Citation

  • Spruill, Carl, 1977. "Determining the form of the mean of a stochastic process," Journal of Multivariate Analysis, Elsevier, vol. 7(2), pages 278-285, June.
  • Handle: RePEc:eee:jmvana:v:7:y:1977:i:2:p:278-285

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