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On relations between prediction error covariance of univariate and multivariate processes

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  • Pourahmadi, Mohsen

Abstract

By using results pertaining to prediction of univariate stationary processes we express [Sigma], the one-step ahead prediction error covariance matrix of a multivariate procces in terms of its spectral density matrix [latin small letter f with hook]x. This sheds some light on a problem of Wiener and Masani (1957). Alternatively, by relying on results from interpolation of multivariate processes, we obtain closed-form and applicable formulae for the interpolators and their errors for a stretch of missing values of univariate processes.

Suggested Citation

  • Pourahmadi, Mohsen, 1993. "On relations between prediction error covariance of univariate and multivariate processes," Statistics & Probability Letters, Elsevier, vol. 16(5), pages 355-359, April.
    • Handle: RePEc:eee:stapro:v:16:y:1993:i:5:p:355-359
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