| Autor: |
Bolla Marianna, Szabados Tamás, Baranyi Máté, Abdelkhalek Fatma |
| Jazyk: |
angličtina |
| Rok vydání: |
2021 |
| Předmět: |
|
| Zdroj: |
Special Matrices, Vol 9, Iss 1, Pp 36-51 (2021) |
| Druh dokumentu: |
article |
| ISSN: |
2300-7451 |
| DOI: |
10.1515/spma-2020-0121 |
| Popis: |
Given a weakly stationary, multivariate time series with absolutely summable autocovariances, asymptotic relation is proved between the eigenvalues of the block Toeplitz matrix of the first n autocovariances and the union of spectra of the spectral density matrices at the n Fourier frequencies, as n → ∞. For the proof, eigenvalues and eigenvectors of block circulant matrices are used. The proved theorem has important consequences as for the analogies between the time and frequency domain calculations. In particular, the complex principal components are used for low-rank approximation of the process; whereas, the block Cholesky decomposition of the block Toeplitz matrix gives rise to dimension reduction within the innovation subspaces. The results are illustrated on a financial time series. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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