Subordination, rank, and determinism of multivariate stationary sequences

Necessary and sufficient conditions for an arbitrary q-variate stationary sequence xt, t [set membership, variant] , to be deterministic are presented. A characterization of the rank r(x) of xt, t [set membership, variant] , and a method to construct the Wold-Cramér decomposition for xt, t [set membership, variant] , are given. Subordination of q-variate bounded orthogonally scattered vector measures is considered.

MoreLess

Year of publication:	1984
Authors:	Niemi, Hannu
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 15.1984, 1, p. 99-123
Publisher:	Elsevier
Keywords:	Multivariate stationary sequences subordination rank Wold-Cramer decomposition orthogonally scattered vector measures invariant subspaces

More details

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

Persistent link: https://www.econbiz.de/10005153138