Walsh spectral analysis of multiple dyadic stationary processes and its applications

Takeaki Nagai and Masanobu Taniguchi

Stochastic Processes and their Applications, 1987, vol. 24, issue 1, 19-30

Abstract: In this paper, we investigate some properties of multiple dyadic stationary processes from the viewpoint of their Walsh spectral analysis. It is shown that under certain conditions a dyadic autoregressive and moving average process of finite order is expressed as a dyadic autoregressive process of finite order and also as a dyadic moving average process of finite order. We can see that the principal component process of such a dyadic stationary process has a simple finite structure in the sense that a dyadic filter which generates the principal component process has only one-side finite lags.

Keywords: Walsh; spectral; analysis; dyadic; stationary; process; finite; parametric; spectral; model; principal; component; analysis; canonical; correlation; analysis (search for similar items in EconPapers)
Date: 1987
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Citations: View citations in EconPapers (2)

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