Author(s): Umberto Triacca
Journal: Econometrics
ISSN 2225-1146
Volume: 1;
Issue: 3;
Start page: 207;
Date: 2013;
Original page
Keywords: Hilbert spaces | predictability | stochastic process
ABSTRACT
This paper investigates, in a particular parametric framework, the geometric meaning of joint unpredictability for a bivariate discrete process. In particular, the paper provides a characterization of the joint unpredictability in terms of distance between information sets in an Hilbert space.
Journal: Econometrics
ISSN 2225-1146
Volume: 1;
Issue: 3;
Start page: 207;
Date: 2013;
Original page
Keywords: Hilbert spaces | predictability | stochastic process
ABSTRACT
This paper investigates, in a particular parametric framework, the geometric meaning of joint unpredictability for a bivariate discrete process. In particular, the paper provides a characterization of the joint unpredictability in terms of distance between information sets in an Hilbert space.
