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Regular multidimensional stationary time series

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  • Tamás Szabados

Abstract

The aim of this article is to give a simpler, more usable sufficient and necessary condition to the regularity of generic weakly stationary time series. Also, this condition is used to show how a regular process can be approximated by a lower rank regular process. The relevance of these issues is shown by the ever increasing presence of high‐dimensional data in many fields lately, and because of this, low rank processes and low rank approximations are becoming more important. Moreover, regular processes are the ones which are completely influenced by random innovations, so they are primary targets both in the theory and applications.

Suggested Citation

  • Tamás Szabados, 2022. "Regular multidimensional stationary time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 263-284, March.
    • Handle: RePEc:bla:jtsera:v:43:y:2022:i:2:p:263-284
    DOI: 10.1111/jtsa.12611
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