One-step prediction forP n-weakly stationary processes

The one-step prediction problem is studied in the context ofP _n-weakly stationary stochastic processes , where is an orthogonal polynomial sequence defining a polynomial hypergroup on . This kind of stochastic processes appears when estimating the mean of classical weakly stationary processes. In particular, it is investigated whether these processes are asymptoticP _n-deterministic, i.e. the prediction mean-squared error tends to zero. Sufficient conditions on the covariance function or the spectral measure are given for being asymptoticP _n-deterministic. For Jacobi polynomialsP _n(x) the problem of being asymptoticP _n-deterministic is completely solved.