On the angle between past and future for multivariate stationary stochastic processes

A characterization for the positivityof the angle between past and future of multivariate stationary stochastic processes is established. In order to prove the results a lemma is proved which is of independent interest, and which is very useful in other areas of prediction theory as well.

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Year of publication:	1986
Authors:	Miamee, A. G.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 20.1986, 2, p. 205-219
Publisher:	Elsevier
Keywords:	multivariate stochastic processes stationary processes prediction theory

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

Persistent link: https://www.econbiz.de/10005221390