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Orthogonal Decompositions of Multivariate Weakly Stationary Stochastic Processes

Published online by Cambridge University Press:  20 November 2018

James B. Robertson
James B. Robertson*
Affiliation:
Cornell University, Ithaca, N. Y.
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In this paper we shall study the relations between the ranks of g-variate, discrete-parameter, weakly stationary stochastic processes x, y, and z satisfying the condition

1.1

and derive from them a characterization for the Wold decomposition and conditions for the concordance of the Wold and the Lebesgue-Cramér decompositions.

Type
Research Article
Information
Canadian Journal of Mathematics , Volume 20 , 1968 , pp. 368 - 383
Copyright
Copyright © Canadian Mathematical Society 1968

Footnotes

1

Vectors and subspaces of Xq and q X q matrices will be written in boldface, while vectors and subspaces in X will not be written in boldface.

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