On the convergence of finite linear predictors of stationary processes Academic Article uri icon

abstract

  • It is shown that the finite linear least-squares predictor of a multivariate stationary process converges to its Kolmogorov-Wiener predictor at an exponential rate, provided that the entries of its spectral density matrix are smooth functions. Also, the same rate of convergence holds for the partial sums of the Kolmogorov-Wiener predictor. 1989.

published proceedings

  • Journal of Multivariate Analysis

author list (cited authors)

  • Pourahmadi, M.

citation count

  • 11

complete list of authors

  • Pourahmadi, Mohsen

publication date

  • January 1, 1989 11:11 AM