An Extension Problem For Discrete‐Time Periodically Correlated Stochastic Processes

DOI10.1111/1467-9892.00209zbMath0973.60034OpenAlexW2008828622MaRDI QIDQ2722249

Antoine Chevreuil, Philippe Loubaton, Daniel Alpay

Publication date: 11 July 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00209

zbMATH Keywords

periodically correlated processesextension of a nonnegative sequencematrix-valued Szegő polynomials

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Stationary stochastic processes (60G10)

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