Factorization of a spectral density with smooth eigenvalues of a multidimensional stationary time series
Statistics Theory
2023-07-06 v1 Probability
Spectral Theory
Statistics Theory
Abstract
The aim of this paper to give a multidimensional version of the classical one-dimensional case of smooth spectral density. A smooth spectral density gives an explicit method to factorize the spectral density and compute the constituents of the Wold representation of a regular weakly stationary time series. These constituents are important to give the best linear predictions of the time series.
Keywords
Cite
@article{arxiv.2302.13388,
title = {Factorization of a spectral density with smooth eigenvalues of a multidimensional stationary time series},
author = {Tamás Szabados},
journal= {arXiv preprint arXiv:2302.13388},
year = {2023}
}
Comments
11 pages. arXiv admin note: text overlap with arXiv:2012.00725