Multivariate Lag-Windows and Group Representations

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Symmetries of the auto-cumulant function (the generalization of the auto-covariance function) of a kth-order stationary time series are derived through a connection with the symmetric group of degree k. Using theory of group representations, symmetries of the auto-cumulant function are demystified and lag-window functions are symmetrized to satisfy these symmetries. A generalized Gabr-Rao optimal kernel, used to estimate general kth-order spectra, is also derived through the developed theory.
19 pages, 3 figures

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Statistics Theory, 37M10

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http://salesiana.dossiersoluciones.com/handle/123456789/131281

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0612674
 http://arxiv.org/abs/math/0612674

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arXiv