The Helson-Sarason-Szegő theorem and the Abel summability of the series for the predictor
Mohsen Pourahmadi · Proceedings of the American Mathematical Society · 1984
It is shown that the best linear least squares predictor of a stationary stochastic process has a mean Abel summable series representation in the time domain if its density satisfies the condition of the Helson-Sarason-Szego theorem. This provides an answer to an open question of Wiener and Masani (1958) in prediction theory.