Abstract
A method to construct the Wold decomposition for multivariate stationary stochastic processes x k , k ∈ Z, is presented. The method is based on orthogonal decompositions for x k , k ∈ Z, obtained by forming orthogonal projections of x k , k ∈ Z, onto its component processes x k j , k ∈ Z, j = 1, …, q. The method does not give a complete solution to the Wold decomposition problem.
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