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Keywords:
linear interpolation
linear interpolation
Summary:
Let {\boldmath$X$} and {\boldmath$Y$} be stationarily cross-correlated multivariate stationary sequences. Assume that all values of {\boldmath$Y$} and all but one values of {\boldmath$X$} are known. We determine the best linear interpolation of the unknown value on the basis of the known values and derive a formula for the interpolation error matrix. Our assertions generalize a result of Budinský [1].
References:
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