TY - JOUR
T1 - Walsh spectral analysis of multiple dyadic stationary processes and its applications
AU - Nagai, Takeaki
AU - Taniguchi, Masanobu
N1 - Funding Information:
This work was partially supported by Japan Society of Promotion of Science and United States-Japan Cooperative Science Program.
PY - 1987/2
Y1 - 1987/2
N2 - In this paper, we investigate some properties of multiple dyadic stationary processes from the viewpoint of their Walsh spectral analysis. It is shown that under certain conditions a dyadic autoregressive and moving average process of finite order is expressed as a dyadic autoregressive process of finite order and also as a dyadic moving average process of finite order. We can see that the principal component process of such a dyadic stationary process has a simple finite structure in the sense that a dyadic filter which generates the principal component process has only one-side finite lags.
AB - In this paper, we investigate some properties of multiple dyadic stationary processes from the viewpoint of their Walsh spectral analysis. It is shown that under certain conditions a dyadic autoregressive and moving average process of finite order is expressed as a dyadic autoregressive process of finite order and also as a dyadic moving average process of finite order. We can see that the principal component process of such a dyadic stationary process has a simple finite structure in the sense that a dyadic filter which generates the principal component process has only one-side finite lags.
KW - Walsh spectral analysis
KW - canonical correlation analysis
KW - dyadic stationary process
KW - finite parametric spectral model
KW - principal component analysis
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U2 - 10.1016/0304-4149(87)90025-1
DO - 10.1016/0304-4149(87)90025-1
M3 - Article
AN - SCOPUS:38249036944
SN - 0304-4149
VL - 24
SP - 19
EP - 30
JO - Stochastic Processes and their Applications
JF - Stochastic Processes and their Applications
IS - 1
ER -