Regular multidimensional stationary time series
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Abstract: The aim of this paper is to give a simpler, more usable sufficient condition to the regularity of generic weakly stationary time series. Also, this condition is used to show how regular processes satisfying these sufficient conditions can be approximated by a lower rank emph{regular} process. The relevance of these issues is shown by the ever increasing presence of high-dimensional data in many fields lately, and because of this, low rank processes and low rank approximations are becoming more important. Moreover, regular processes are the ones which are completely influenced by random innovations, so they are primary targets both in the theory and applications.
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Cites work
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- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
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- The prediction theory of multivariate stochastic processes. I. The regularity condition. - II. The linear predictor
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