Factorization of a spectral density with smooth eigenvalues of a multidimensional stationary time series

02/26/2023

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by   Tamás Szabados, et al.

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The aim of this paper to give a multidimensional version of the classical one-dimensional case of smooth spectral density. A smooth spectral density gives an explicit method to factorize the spectral density and compute the constituents of the Wold representation of a regular weakly stationary time series. These constituents are important to give the best linear predictions of the time series.