Time Domain Interpolation Algorithm for Innovations of Discrete Time Multivariate Stationary Processes

DOI10.1080/07362990802678911zbMath1161.60315OpenAlexW2082862161MaRDI QIDQ3625464

Mehrnaz Mohammadpour, Ahmad Reza Soltani

Publication date: 5 May 2009

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990802678911

zbMATH Keywords

interpolationinnovationvon Neumann's alternating projection formulamultivariate stationary sequences

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (3)

An interpolation algorithm for multivariate ARMA processes ⋮ Forward Moving Average Representations for MA Processes of Finite Order: Multivariate Stationary and Periodically Correlated ⋮ Interpolation for second order stationary random fields: time domain recipe

Cites Work

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• On the angle between past and future for multivariate stationary stochastic processes
• Algorithms for linear interpolator and interpolation error for minimal stationary stochastic processes
• Time series: theory and methods.
• Moving Average Representations for Multivariate Stationary Processes
• Alternating projections and interpolation of stationary processes

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