On the mean convergence of the best linear interpolator of multivariate stationary stochastic processes

DOI10.1214/aop/1176993308zbMath0531.62080OpenAlexW2058174615MaRDI QIDQ788446

Mohsen Pourahmadi

Publication date: 1984

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176993308

zbMATH Keywords

minimalityspectral densitybest linear interpolator of multivariate stationary processesnecessary and sufficient condition for existence of mean-convergent seriespositive anglesquare summability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Harmonic analysis in several variables (42B99) Convergence and absolute convergence of Fourier and trigonometric series (42A20)

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