BAXTER INEQUALITY AND CONVERGENCE OF FINITE PREDICTORS OF MULTIVARIATE STOCHASTIC-PROCESSES

• 成果类型: Article
• 署名作者: CHENG, R; POURAHMADI, M
• 署名单位: Northern Illinois University
• 刊物名称: PROBABILITY THEORY AND RELATED FIELDS
• ISSN/ISSBN: 0178-8051
• DOI: 10.1007/BF01197341
• 发表日期: 1993
• 页码: 115-124
• 关键词: stationary-processes

摘要

We show that smoothness properties of a spectral density matrix and its optimal factor are closely related when the density satisfies the boundedness 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.