On the construction of Wold decomposition for multivariate stationary processes

Hannu Niemi

Journal of Multivariate Analysis, 1979, vol. 9, issue 4, 545-559

Abstract: A method to construct the Wold decomposition for multivariate stationary stochastic processes xk, k [set membership, variant] Z, is presented. The method is based on orthogonal decompositions for xk, k [set membership, variant] Z, obtained by forming orthogonal projections of xk, k [set membership, variant] Z, onto its component processes , k [set membership, variant] Z, j = 1, ..., q. The method does not give a complete solution to the Wold decomposition problem.

Keywords: Multivariate; stationary; processes; Wold; decomposition; regularity; singularity; orthogonally; scattered; measures (search for similar items in EconPapers)
Date: 1979
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