Block circulant matrices and the spectra of multivariate stationary sequences
Block circulant matrices and the spectra of multivariate stationary sequences
Abstract 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 …