A note on the asymptotic eigenvalues and eigenvectors of the dispersion matrix of a second-order Stationary Process on a d-dimensional Lattice-Reference-Cited by-同舟云学术

A note on the asymptotic eigenvalues and eigenvectors of the dispersion matrix of a second-order Stationary Process on a d-dimensional Lattice

Published:1986-06 Issue:2 Volume:23 Page:529-535
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Martin R. J.

Abstract

A sufficiently large finite second-order stationary time series process on a line has approximately the same eigenvalues and eigenvectors of its dispersion matrix as its counterpart on a circle. It is shown here that this result can be extended to second-order stationary processes on a d-dimensional lattice.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference6 articles.

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4. The Evaluation of Certain Quadratic Forms Occurring in Autoregressive Model Fitting

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