Spectral characterization of the Wold–Zasuhin decomposition and prediction-error operator

Abstract

Over thirty years ago Wiener and Masani pointed out in the introduction of their celebrated paper [31] that for a general multivariate stationary stochastic process no relation had been given for the prediction-error matrix in terms of the spectrum of the process. In particular it was unknown how to characterize the rank of the process in spectral terms (cf. Masani[12], p. 369, question 1). Despite explicit progress in this connection with certain regular processes, such as the series representations in [11, 19, 22, 32], or the iterative approach of [28, 29], and despite progress in the structure theory of degenerate processes ([8, 10, 14, 15, 26]), a general relation or series expression has remained elusive.