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On the construction of Wold decomposition for multivariate stationary processes

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  • Niemi, Hannu

Abstract

A method to construct the Wold decomposition for multivariate stationary stochastic processes xk, k [set membership, variant] Z, is presented. The method is based on orthogonal decompositions for xk, k [set membership, variant] Z, obtained by forming orthogonal projections of xk, k [set membership, variant] Z, onto its component processes , k [set membership, variant] Z, j = 1, ..., q. The method does not give a complete solution to the Wold decomposition problem.

Suggested Citation

  • Niemi, Hannu, 1979. "On the construction of Wold decomposition for multivariate stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 9(4), pages 545-559, December.
    • Handle: RePEc:eee:jmvana:v:9:y:1979:i:4:p:545-559
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    Cited by:

    1. Carvalho, Carlos & Masini, Ricardo & Medeiros, Marcelo C., 2018. "ArCo: An artificial counterfactual approach for high-dimensional panel time-series data," Journal of Econometrics, Elsevier, vol. 207(2), pages 352-380.

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