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Factorization of a Spectral Density with Smooth Eigenvalues of a Multidimensional Stationary Time Series by Szabados, Tamás is a scholarly article available to read on EtoBox.

What is Factorization of a Spectral Density with Smooth Eigenvalues of a Multidimensional Stationary Time Series about?

The aim of this paper to give a multidimensional version of the classical one-dimensional case of smooth spectral density. A smooth spectral density gives an explicit method to factorize the spectral density and compute the constituents of the Wold representation of a regular weakly stationary time series. These constituents are important to give the best linear predictions of the time series.

Author

Szabados, Tamás

Published

2023

Language

EN