The intersection of past and future for multivariate stationary processes

Inoue, Akihiko; Kasahara, Yukio; Pourahmadi, Mohsen

doi:10.1090/proc/12869

The intersection of past and future for multivariate stationary processes
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by Akihiko Inoue, Yukio Kasahara and Mohsen Pourahmadi PDF

Proc. Amer. Math. Soc. 144 (2016), 1779-1786 Request permission

Abstract:

We consider an intersection of past and future property of multivariate stationary processes which is the key to deriving various representation theorems for their linear predictor coefficient matrices. We extend useful spectral characterizations for this property from univariate processes to multivariate processes.

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