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Walsh spectral analysis of multiple dyadic stationary processes and its applications

Author

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  • Nagai, Takeaki
  • Taniguchi, Masanobu

Abstract

In this paper, we investigate some properties of multiple dyadic stationary processes from the viewpoint of their Walsh spectral analysis. It is shown that under certain conditions a dyadic autoregressive and moving average process of finite order is expressed as a dyadic autoregressive process of finite order and also as a dyadic moving average process of finite order. We can see that the principal component process of such a dyadic stationary process has a simple finite structure in the sense that a dyadic filter which generates the principal component process has only one-side finite lags.

Suggested Citation

  • Nagai, Takeaki & Taniguchi, Masanobu, 1987. "Walsh spectral analysis of multiple dyadic stationary processes and its applications," Stochastic Processes and their Applications, Elsevier, vol. 24(1), pages 19-30, February.
  • Handle: RePEc:eee:spapps:v:24:y:1987:i:1:p:19-30
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    Cited by:

    1. Boudou, Alain, 2006. "Approximation of the principal components analysis of a stationary function," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 571-578, March.
    2. M. Taniguchi & L. Zhao & P. Krishnaiah & Z. Bai, 1989. "Statistical analysis of dyadic stationary processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 41(2), pages 205-225, June.

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