On Determining the Predictor of Nonfull-Rank Multivariate Stationary Random Processes

Abstract

Algorithms for determining the generating function and the predictor for some nonfull-rank multivariate stationary stochastic processes are obtained. In fact, it is shown that the well-known algorithms given by Wiener and Masani [Acts Math., 99 (1958), pp. 93–137] for the full-rank case are valid in certain nonfull-rank cases exactly in the same form.