On the Wiener-Masani algorithm for finding the generating function of multivariate stochastic processes (Q1111234): Difference between revisions
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Latest revision as of 19:28, 19 March 2024
scientific article
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English | On the Wiener-Masani algorithm for finding the generating function of multivariate stochastic processes |
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On the Wiener-Masani algorithm for finding the generating function of multivariate stochastic processes (English)
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1988
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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.
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generating function
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prediction error matrix
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autoregressive representation for the linear least-squares predictor
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multivariate stationary stochastic process
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