Research ArticleOpen accessAll words, across the recordInverse Correlations for Multiple Time Series and Gaussian Random Fields and Measures of Their Linear DeterminismR.J. Bhansali, L. IppolitiFor a discrete-time vector linear stationary process, {X(t)}, admitting forward and backward autoregressive representations, the variance matrix of an optimal linear interpolator of X(t), based on a knowledge of {X(t-j), j≠0}, is known to be given by Ri(0)-1 where Ri(0) denotes the inverse variance of the process. Let A=Is-1Ri(0)ˉ1R(0)ˉ1, where R(0) denotes the variance matrix of {X(t)} and Is an … …Journal of Mathematics and Statistics, Vol. 1, Issue 4 · 31 Dec 2005 · 6,424 accessesView PDFCite