On the angle between past and future for multivariate stationary stochastic processes

DOI10.1016/0047-259X(86)90078-3zbMath0606.60040MaRDI QIDQ1084753

Abol G. Miamee

Publication date: 1986

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

zbMATH Keywords

spectral theoryprediction theorymultivariate stationary stochastic processes

Mathematics Subject Classification ID

General second-order stochastic processes (60G12) Summability and absolute summability of Fourier and trigonometric series (42A24) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (6)

Stationary fields with positive angle ⋮ Autoregressive representations of multivariate stationary stochastic processes ⋮ Recursive condition for positivity of the angle for multivariate stationary sequences ⋮ A matricial extension of the Helson-Sarason theorem and a characterization of some multivariate linearly completely regular processes ⋮ Time Domain Interpolation Algorithm for Innovations of Discrete Time Multivariate Stationary Processes ⋮ Interpolation for second order stationary random fields: time domain recipe

Cites Work

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• On an explicit formula in linear least squares prediction
• The Helson-Sarason-Szego Theorem and the Abel Summability of the Series for the Predictor
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Properties of the Wold Decomposition of Stationary Stochastic Processes
• Systems of Toeplitz Operators on H 2 . II
• Past and Future
• Weighted Norm Inequalities for the Conjugate Function and Hilbert Transform
• Correlation theory of processes with random stationary 𝑛th increments

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