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A note on the asymptotic eigenvalues and eigenvectors of the dispersion matrix of a second-order Stationary Process on a d-dimensional Lattice

Published online by Cambridge University Press:  14 July 2016

R. J. Martin
R. J. Martin*
Affiliation:
University of Sheffield
*
∗Postal address: Department of Probability and Statistics, The University, Sheffield S3 7RH, UK.
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Abstract

A sufficiently large finite second-order stationary time series process on a line has approximately the same eigenvalues and eigenvectors of its dispersion matrix as its counterpart on a circle. It is shown here that this result can be extended to second-order stationary processes on a d-dimensional lattice.

Keywords

FOURIER MATRIXLATTICE PROCESS
Type
Short Communications
Information
Journal of Applied Probability , Volume 23 , Issue 2 , June 1986 , pp. 529 - 535
Copyright
Copyright © Applied Probability Trust 1986 

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