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

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.

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 1, 2016 11:11 AM