A matricial extension of the Helson-Szeg theorem and its application in multivariate prediction Academic Article uri icon

abstract

  • It is shown that the positivity of the angle between the past and future of a multivariate stationary process is sufficient for the existence of a mean-convergent autoregressive series representation of its linear predictor. A large class of multivariate processes whose past and future are at positive angle is characterized, thus providing a matricial extension of the Helson-Szeg theorem. 1985.

published proceedings

  • Journal of Multivariate Analysis

author list (cited authors)

  • Pourahmadi, M.

citation count

  • 16

complete list of authors

  • Pourahmadi, Mohsen

publication date

  • January 1, 1985 11:11 AM