On relations between prediction error covariance of univariate and multivariate processes Academic Article

abstract

• By using results pertaining to prediction of univariate stationary processes we express , the one-step ahead prediction error covariance matrix of a multivariate procces in terms of its spectral density matrix f{hook}x. This sheds some light on a problem of Wiener and Masani (1957). Alternatively, by relying on results from interpolation of multivariate processes, we obtain closed-form and applicable formulae for the interpolators and their errors for a stretch of missing values of univariate processes. 1993.

authors

• Pourahmadi, Mohsen

published proceedings

• Statistics & Probability Letters

author list (cited authors)

• Pourahmadi, M.

citation count

• 1

complete list of authors

• Pourahmadi, Mohsen

publication date

• January 1993

publisher

• Elsevier  Publisher

published in

• Statistics and Probability Letters  Journal

keywords

• Interpolation Of Missing Values
• Prediction Error Covariance Matrix
• Spectral Density

Digital Object Identifier (DOI)

• 10.1016/0167-7152(93)90069-u

start page

• 355

end page

• 359

volume

• 16

issue

• 5