Optimal Prediction of Clocks from Finite Data

This talk is about optimal linear prediction of processes with stationary dth increments, which serve as a class of models for random clock disturbances. The predictor is obtained by orthogonal projection on the affine space of estimators whose errors are invariant to additive polynomials of degree < d. The projection conditions give a system of linear equations thatcan be solved straightforwardly for the regression coefficients. If the data are equally spaced, then the predictor can be obtained by an extension of Levinson's algorithm.