Baxter's inequality for finite predictor coefficients of multivariate long-memory stationary processes

DOI10.3150/16-BEJ897zbMath1422.60056arXiv1507.02848OpenAlexW2964343672MaRDI QIDQ2405218

Mohsen Pourahmadi, Yukio Kasahara, Akihiko Inoue

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.02848

zbMATH Keywords

long memoryphase functionsBaxter's inequalitypartial autocorrelation functionsmultivariate stationary processespredictor coefficients

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Prediction theory (aspects of stochastic processes) (60G25)

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Coefficient stripping in the matricial Nehari problem ⋮ Convergence of the best linear predictor of a weakly stationary random field ⋮ Explicit formulas for the inverses of Toeplitz matrices, with applications ⋮ Representation theorems in finite prediction, with applications ⋮ Closed-form expression for finite predictor coefficients of multivariate ARMA processes ⋮ Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain ⋮ Rigidity for matrix-valued Hardy functions

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