Unit canonical correlations between future and past (Q1104009): Difference between revisions

Let \(a(B) x(t)=b(B) \epsilon(t)\) be an n-dimensional stationary ARMA process of the full rank. The paper deals with the number of such canonical correlations between future \(\{x(s): s>t\}\) and past \(\{x(s): s\leq t\}\) which are equal to 1. It is proved that this number is equal to the number of zeros of \(\det\{k(z)\}\) on \(| z| =1\) counting each such zero with its multiplicity \((k(z)=a(z)^{-1}b(z))\).