The Extreme Linear Predictions of the Matrix-Valued Stationary Stochastic Processes

B. Gyires
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B. Gyires: Kossuth L. University, Debrecen

A chapter in Mathematical Statistics and Probability Theory, 1987, pp 113-124 from Springer

Abstract: Summary Let A be an arbitrary matrix with complex entries. It is known that the arithmetic mean of the diagonal elements of AA* is used for the measure of error of the linear predictions of matrix-valued stationary stochastic processes. It can be raised the question what happens if we apply another means of these diagonal elements. In this paper we use the geometric and harmonic means besides the arithmetic one for that purpose.

Keywords: Diagonal Element; Linear Prediction; Toeplitz Matrice; Symmetric Positive Definite Matrice; Positive Semidefinite Matrice (search for similar items in EconPapers)
Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-009-3965-3_11

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DOI: 10.1007/978-94-009-3965-3_11

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