Conditional spectral methods
条件谱方法
We model predictive scale-specific cycles. By employing suitable matrix representations, we express the forecast errors of covariance-stationary multivariate time series in terms of conditionally orthonormal scale-specific bases. The representations yield conditionally orthogonal decompositions of these forecast errors. They also provide decompositions of their variances and betas in terms of scale-specific variances and betas capturing predictive variability and…