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


  • 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.

published proceedings

  • Statistics & Probability Letters

author list (cited authors)

  • Pourahmadi, M.

citation count

  • 1

complete list of authors

  • Pourahmadi, Mohsen

publication date

  • January 1993