181 citations · 189 across the 11 of their papers we have counts for
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Baxter's inequality for finite predictor coefficients of multivariate long-memory stationary processes
Akihiko Inoue, Yukio Kasahara, Mohsen Pourahmadi
For a multivariate stationary process, we develop explicit representations for the finite predictor coefficient matrices, the finite prediction error covariance matrices and the pa…
The intersection of past and future for multivariate stationary processes
Akihiko Inoue, Yukio Kasahara, Mohsen Pourahmadi
We consider an intersection of past and future property of multivariate stationary processes which is the key to deriving various representation theorems for their linear predictor…
Applications of a finite-dimensional duality principle to some prediction problems
Yukio Kasahara, Mohsen Pourahmadi, Akihiko Inoue
Some of the most important results in prediction theory and time series analysis when finitely many values are removed from or added to its infinite past have been obtained using d…