||THE INTERSECTION OF PAST AND FUTURE FOR MULTIVARIATE STATIONARY PROCESSES
Inoue, Akihiko ,
Kasahara, YukioPourahmadi, Mohsen
Proceedings of the American mathematical society
1786 , 2016-04 , American Mathematical Society
We consider an intersection of past and future property of multivariate stationary processes which is the key to deriving various representation theorems for their linear predictor coefficient matrices. We extend useful spectral characterizations for this property from univariate processes to multivariate processes.