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Inverse Correlations for Multiple Time Series and Gaussian Random Fields and Measures of Their Linear Determinism

2005
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Journal of Mathematics and Statistics
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For a discrete-time vector linear stationary process, {X(t)}, admitting forward and backward autoregressive representations, the variance matrix of an optimal linear interpolator of X(t), based on a knowledge of {X(t-j), j≠0}, is known to be given by Ri (0) -1 where Ri(0) denotes the inverse variance of the process. Let A=I s −Ri(0)¯1R(0)¯1, where R(0) denotes the variance matrix of {X(t)} and s I an s×s, identity matrix. A measure of linear interpolability of the process, called an index of

doi:10.3844/jmssp.2005.287.299
fatcat:c4x5bu3udbhidifppiwyz27oeu