A matricial extension of the Helson-Szeg theorem and its application in multivariate prediction
- Additional Document Info
- View All
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.
Journal of Multivariate Analysis
author list (cited authors)
complete list of authors