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

DOI10.1016/0047-259X(85)90039-9zbMATH Open0583.62086OpenAlexW1997546438MaRDI QIDQ1069253FDOQ1069253

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)

Cites Work

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• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Correlation theory of processes with random stationary 𝑛th increments
• The prediction theory of multivariate stochastic processes. I. The regularity condition. - II. The linear predictor
• A problem in prediction theory
• Weighted Norm Inequalities for the Conjugate Function and Hilbert Transform
• The prediction theory of multivariate stochastic processes. III: Unbounded spectral densities
• Systems of Toeplitz Operators on H 2 . II
• On an explicit formula in linear least squares prediction
• Banach algebra methods in prediction theory
• Properties of the Wold Decomposition of Stationary Stochastic Processes

Cited In (10)

• 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
• Spectral characterization of the Wold–Zasuhin decomposition and prediction-error operator
• A Helson-Szegő theorem for subdiagonal subalgebras with applications to Toeplitz operators

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