Prediction and fundamental moving averages for discrete multidimensional harmonizable processes

Marc H. Mehlman

Journal of Multivariate Analysis, 1992, vol. 43, issue 1, 147-170

Abstract: The moving average representations of discrete multidimensional stationary processes are generalized to fundamental moving average representations of weakly harmonizable processes. For strongly harmonizable processes, necessary and sufficient conditions on covariance functions are obtained for the existence of such moving average representations. These are used in obtaining least squares prediction formulae for such processes.

Keywords: Harmonizable; processes; moving; averages; prediction (search for similar items in EconPapers)
Date: 1992
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