Factorization of a spectral density with smooth eigenvalues of a multidimensional stationary time series
arXiv:2302.13388 · doi:10.3390/econometrics11020014
Abstract
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.
arXiv comment11 pages. arXiv admin note: text overlap with arXiv:2012.00725