On relations between prediction error covariance of univariate and multivariate processes

DOI10.1016/0167-7152(93)90069-UzbMath0767.60037MaRDI QIDQ1210125

Mohsen Pourahmadi

Publication date: 16 May 1993

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

stationary processmultivariate processspectral density matrix

Mathematics Subject Classification ID

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

Cites Work

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• The prediction theory of multivariate stochastic processes. III: Unbounded spectral densities
• On the mean convergence of the best linear interpolator of multivariate stationary stochastic processes
• Algorithms for linear interpolator and interpolation error for minimal stationary stochastic processes
• Exact factorization of the spectral density ann its application to wrf,castiilg and time series analysis
• Inverse Autocorrelations
• Spectral characterization of the Wold–Zasuhin decomposition and prediction-error operator
• Prediction n Units of Time Ahead

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