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Multivariate lag-windows and group representations

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  • Berg, Arthur

Abstract

Symmetries of the auto-cumulant function (a generalization of the auto-covariance function) of a kth-order stationary time series are derived through a connection with the symmetric group of degree k. Using the theory of group representations, symmetries of the auto-cumulant function are demystified and lag-window functions are symmetrized to satisfy these symmetries. A generalized Gabr-Rao optimal kernel is also derived through the developed theory.

Suggested Citation

  • Berg, Arthur, 2008. "Multivariate lag-windows and group representations," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2479-2496, November.
    • Handle: RePEc:eee:jmvana:v:99:y:2008:i:10:p:2479-2496
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    References listed on IDEAS

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