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Spectral inference over narrow bands

Published online by Cambridge University Press:  14 July 2016

E. J. Hannan  and
P. J. Thomson
E. J. Hannan
Affiliation:
Australian National University
P. J. Thomson
Affiliation:
Australian National University
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Extract

We consider a vector, discrete, time sequence x(n), n = 0, ± 1 ···, of p components Xj(n), j = 1, ··· p. For the most part we shall assume x(n) to be strictly stationary and with finite variances. Thus if μ is the mean vector we shall have

Type
Research Papers
Information
Journal of Applied Probability , Volume 8 , Issue 1 , March 1971 , pp. 157 - 169
Copyright
Copyright © Applied Probability Trust 1971 

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References

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