On the mean convergence of the best linear interpolator of multivariate stationary stochastic processes
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Publication:788446
DOI10.1214/aop/1176993308zbMath0531.62080MaRDI QIDQ788446
Publication date: 1984
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176993308
minimality; spectral density; best linear interpolator of multivariate stationary processes; necessary and sufficient condition for existence of mean-convergent series; positive angle; square summability
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
60G12: General second-order stochastic processes
42B99: Harmonic analysis in several variables
42A20: Convergence and absolute convergence of Fourier and trigonometric series
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