On the convergence of finite linear predictors of stationary processes

Mohsen Pourahmadi

Journal of Multivariate Analysis, 1989, vol. 30, issue 2, 167-180

Abstract: It is shown that the finite linear least-squares predictor of a multivariate stationary process converges to its Kolmogorov-Wiener predictor at an exponential rate, provided that the entries of its spectral density matrix are smooth functions. Also, the same rate of convergence holds for the partial sums of the Kolmogorov-Wiener predictor.

Keywords: q-variate; stationary; processes; linear; predictor; prediction; error; exponential; rate; of; convergence; analytic (search for similar items in EconPapers)
Date: 1989
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