Multivariate reciprocal stationary Gaussian processes

In this paper we examine the characterization of multivariate reciprocal stationary Gaussian processes in terms of their covariance matrix function. As an illustration, we identify all second-order reciprocal Gaussian processes.

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Year of publication:	1987
Authors:	Carmichael, J.P. ; MasseÂ´, J.C. ; Theodorescu, R.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 23.1987, 1, p. 47-66
Publisher:	Elsevier
Keywords:	Gaussian processes stationary processes reciprocal processes second-order reciprocal processes quasi-Markov property covariance function

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

Persistent link: https://www.econbiz.de/10005221679