Exact factorization of the spectral density ann its application to wrf,castiilg and time series analysis Academic Article uri icon

abstract

  • Let f be the spectral density function of a purely nondeter-minis tic stationary stochastic process and be the optimal (canonical) factor of f. The role of the coefficients cnand dn (n 0) of J) and respectively, in prediction, filtering and control theory is well-known. We show that the c ns and d ns can be obtained recursively in terms of the Fourier coefficients of log f. Also, recursive and updating formulae for the Kolmogorov-Wiener predictor similar to those of Box-Jenkins are provided. 1983, Taylor & Francis Group, LLC. All rights reserved.

published proceedings

  • Communication in Statistics- Theory and Methods

author list (cited authors)

  • Pourahmadi, M.

citation count

  • 13

complete list of authors

  • Pourahmadi, Mohsen

publication date

  • January 1, 1983 11:11 AM