Autoregressive representations of multivariate stationary stochastic processes

DOI10.1007/BF00356109zbMath0639.60045MaRDI QIDQ1099877

Mohsen Pourahmadi

Publication date: 1988

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

autoregressive representationAbel summableCesáro summablelinear least squares predictorweakly stationary stochastic process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (1)

Wold decomposition, prediction and parameterization of stationary processes with infinite variance

Cites Work

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• The Helson-Sarason-Szego Theorem and the Abel Summability of the Series for the Predictor
• Systems of Toeplitz Operators on H 2 . II
• Summability of Fourier Series in L p (dμ)

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