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

Mohsen Pourahmadi

Journal of Multivariate Analysis, 1985, vol. 16, issue 2, 265-275

Abstract: It is shown that the positivity of the angle between the past and future of a multivariate stationary process is sufficient for the existence of a mean-convergent autoregressive series representation of its linear predictor. A large class of multivariate processes whose past and future are at positive angle is characterized, thus providing a matricial extension of the Helson-Szegö theorem.

Keywords: q-variate; stationary; processes; prediction; theory; Helson-Szego; theorem; Fourier; series; linear; predictor (search for similar items in EconPapers)
Date: 1985
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