Baxter's inequality and convergence of finite predictors of multivariate stochastic processess Academic Article uri icon

abstract

  • We show that smoothness properties of a spectral density matrix and its optimal factor are closely related when the density satisfies the boundedness condition. This is crucial in proving multivariate generalizations of Baxter's inequality and obtaining rates of convergence of finite predictors. We rely on a technique of Lowdenslager and Rosenblum relating the optimal factor to the spectral density via Toeplitz operators. 1993 Springer-Verlag.

published proceedings

  • Probability Theory and Related Fields

author list (cited authors)

  • Cheng, R., & Pourahmadi, M.

citation count

  • 40

complete list of authors

  • Cheng, R||Pourahmadi, M

publication date

  • January 1, 1993 11:11 AM