The intersection of past and future for multivariate stationary processes
Probability
2015-05-26 v2 Statistics Theory
Statistics Theory
Abstract
We consider an intersection of past and future property of multivariate stationary processes which is the key to deriving various representation theorems for their linear predictor coefficient matrices. We extend useful spectral characterizations for this property from univariate processes to multivariate processes.
Cite
@article{arxiv.1501.00625,
title = {The intersection of past and future for multivariate stationary processes},
author = {Akihiko Inoue and Yukio Kasahara and Mohsen Pourahmadi},
journal= {arXiv preprint arXiv:1501.00625},
year = {2015}
}
Comments
8 pages