Journal Article THE INTERSECTION OF PAST AND FUTURE FOR MULTIVARIATE STATIONARY PROCESSES

Inoue, Akihiko  ,  Kasahara, Yukio  ,  Pourahmadi, Mohsen

144 ( 4 )  , pp.1779 - 1786 , 2016-04 , American Mathematical Society
ISSN:0002-9939
Description
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.
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