A matricial extension of the Helson-Szegö theorem and its application in multivariate prediction

It is shown that the positivity of the angle between the past and future of a multivariate stationary process is sufficient for the existence of a mean-convergent autoregressive series representation of its linear predictor. A large class of multivariate processes whose past and future are at positive angle is characterized, thus providing a matricial extension of the Helson-Szegö theorem.

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Year of publication:	1985
Authors:	Pourahmadi, Mohsen
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 16.1985, 2, p. 265-275
Publisher:	Elsevier
Keywords:	q-variate stationary processes prediction theory Helson-Szego theorem Fourier series linear predictor

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221452