Subordination, rank, and determinism of multivariate stationary sequences

Hannu Niemi

Journal of Multivariate Analysis, 1984, vol. 15, issue 1, 99-123

Abstract: Necessary and sufficient conditions for an arbitrary q-variate stationary sequence xt, t [set membership, variant] , to be deterministic are presented. A characterization of the rank r(x) of xt, t [set membership, variant] , and a method to construct the Wold-Cramér decomposition for xt, t [set membership, variant] , are given. Subordination of q-variate bounded orthogonally scattered vector measures is considered.

Keywords: Multivariate; stationary; sequences; subordination; rank; Wold-Cramer; decomposition; orthogonally; scattered; vector; measures; invariant; subspaces (search for similar items in EconPapers)
Date: 1984
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