Multivariate lag-windows and group representations

Arthur Berg

Journal of Multivariate Analysis, 2008, vol. 99, issue 10, 2479-2496

Abstract: Symmetries of the auto-cumulant function (a generalization of the auto-covariance function) of a kth-order stationary time series are derived through a connection with the symmetric group of degree k. Using the theory of group representations, symmetries of the auto-cumulant function are demystified and lag-window functions are symmetrized to satisfy these symmetries. A generalized Gabr-Rao optimal kernel is also derived through the developed theory.

Keywords: 37M10; 20C30; Higher-order; spectra; Group; representations; Multivariate; lag-windows; Symmetry; group (search for similar items in EconPapers)
Date: 2008
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