A matricial extension of the Helson-Szegö theorem and its application in multivariate prediction

DOI10.1016/0047-259X(85)90039-9zbMath0583.62086OpenAlexW1997546438MaRDI QIDQ1069253

Mohsen Pourahmadi

Publication date: 1985

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(85)90039-9

zbMATH Keywords

predictionFourier seriesspectral densitylinear predictormultivariate stationary processangle between the past and future subspacesHelson-Szegö theoremmean-convergent autoregressive series representationweakly stationary stochastic sequence

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Prediction theory (aspects of stochastic processes) (60G25)

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On the angle between past and future for multivariate stationary stochastic processes ⋮ Wold decomposition, prediction and parameterization of stationary processes with infinite variance ⋮ Spectral characterization of the Wold–Zasuhin decomposition and prediction-error operator ⋮ Autoregressive representations of multivariate stationary stochastic processes ⋮ On the convergence of finite linear predictors of stationary processes ⋮ A criterion for a continuous spectral density ⋮ Multivariate prediction and matrix Szegő theory ⋮ A Helson-Szegő theorem for subdiagonal subalgebras with applications to Toeplitz operators ⋮ A matricial extension of the Helson-Sarason theorem and a characterization of some multivariate linearly completely regular processes ⋮ ESTIMATION AND INTERPOLATION OF MISSING VALUES OF A STATIONARY TIME SERIES

Cites Work

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