On prediction of multivariate stationary stochastic processes of rank one (Q675331)
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| Language | Label | Description | Also known as |
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| English | On prediction of multivariate stationary stochastic processes of rank one |
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On prediction of multivariate stationary stochastic processes of rank one (English)
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4 March 1998
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The paper deals with linear prediction of multivariate stationary stochastic processes of rank one. In addition to rank one, two conditions are assumed; the first one guarantees the positivity of the angle between the past and the future of each component and the second one relates to the analyticity of the normalized cross spectral densities. Under these assumptions, in the tradition of Wiener-Masani's approach, nice compact expressions for the linear predictor and the predictor error matrix are obtained.
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prediction of multivariate stationary stochastic processes
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spectral densities
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Wiener-Masani's approach
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