On a relationship between the inverse of a stationary covariance matrix and the linear interpolator

On a relationship between the inverse of a stationary covariance matrix and the linear interpolator

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Article ID: iaor1990794
Country: Israel
Volume: 27
Issue: 1
Start Page Number: 1
End Page Number: 7
Publication Date: Mar 1990
Journal: Journal of Applied Probability
Authors:
Abstract:

Let {xt} be a discrete-time multivariate stationary process possessing an infinite autoregressive representation and let ¦)B(k), ¦)F(k) and ¦) be the block Toeplitz covariance matrices of xB(k)=[x'

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