THE INTERSECTION OF PAST AND FUTURE FOR MULTIVARIATE STATIONARY PROCESSES Academic Article

abstract

• 2015 American Mathematical Society. We consider an intersection of past and future property of multivariate stationary processes which is the key to deriving various representation theorems for their linear predictor coefficient matrices. We extend useful spectral characterizations for this property from univariate processes to multivariate processes.

authors

• Pourahmadi, Mohsen

published proceedings

• PROCEEDINGS OF THE AMERICAN MATHEMATICAL SOCIETY

author list (cited authors)

• Inoue, A., Kasahara, Y., & Pourahmadi, M.

citation count

• 6

complete list of authors

• Inoue, Akihiko||Kasahara, Yukio||Pourahmadi, Mohsen

publication date

• January 2016

publisher

• American Mathematical Society (AMS)  Publisher

published in

• Proceedings of the American Mathematical Society  Journal

keywords

• Math.pr
• Math.st
• Primary 60g10, Secondary 62m10, 60g25
• Stat.th

Digital Object Identifier (DOI)

• 10.1090/proc/12869

start page

• 1779

end page

• 1786

volume

• 144

issue

• 4

URL

• http%3A%2F%2Fdx.doi.org%2F10.1090%2Fproc%2F12869