On the Wiener-Masani algorithm for finding the generating function of multivariate stochastic processes (Q1111234): Difference between revisions

It is shown that some algorithms for determining the generating function, the prediction error matrix and an autoregressive representation for the linear least-squares predictor of a multivariate stationary stochastic process developed by \textit{N. Wiener} and \textit{P. Masani} [Acta Math. 98, 111-150 (1957); and ibid. 99, 93-137 (1958; Zbl 0080.130)] work when the spectral density can be factored as \[ f(e^{i\theta})=P(e^{i\theta})g(e^{i\theta})P^*(e^{i\theta}), \] where \(g(e^{i\theta})\) is a new spectral density satisfying Masani's condition and \(P(e^{i\theta})\) is a polynomial of a special type.