论文信息 - Baxter's inequality and convergence of finite predictors of multivariate stochastic processess

Baxter's inequality and convergence of finite predictors of multivariate stochastic processess

SummaryWe show that smoothness properties of a spectral density matrix and its optimal factor are closely related when the density satisfies theboundedness condition. This is crucial in proving multivariate generalizations of Baxter's inequality and obtaining rates of convergence of finite predictors. We rely on a technique of Lowdenslager and Rosenblum relating the optimal factor to the spectral density via Toeplitz operators.

M. Pourahmadi | R. Cheng

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