A matricial extension of the Helson-Szegö theorem and its application in multivariate prediction

DOI10.1016/0047-259X(85)90039-9MaRDI QIDQ1069253zbMATH OpenOpenAlexFDO

Authors M. Pourahmadi

Publication date 1985

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259x(85)90039-9

zbMATH Keywords

predictionspectral densityFourier serieslinear predictormultivariate stationary processangle between the past and future subspacesmean-convergent autoregressive series representationweakly stationary stochastic sequenceHelson-Szegö theorem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Prediction theory (aspects of stochastic processes) (60G25)

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Cited in

(13)

• Autoregressive representations of multivariate stationary stochastic processes
• On the convergence of finite linear predictors of stationary processes
• A criterion for a continuous spectral density
• A matricial extension of the Helson-Sarason theorem and a characterization of some multivariate linearly completely regular processes
• ESTIMATION AND INTERPOLATION OF MISSING VALUES OF A STATIONARY TIME SERIES
• On the angle between past and future for multivariate stationary stochastic processes
• Multivariate prediction and matrix Szegő theory
• Wold decomposition, prediction and parameterization of stationary processes with infinite variance
• scientific article; zbMATH DE number 3930188 (Why is no real title available?)
• Spectral characterization of the Wold–Zasuhin decomposition and prediction-error operator
• A Helson-Szegő theorem for subdiagonal subalgebras with applications to Toeplitz operators
• Predictive information and distance between past and future of a time series
• scientific article; zbMATH DE number 4076398 (Why is no real title available?)

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