Covariance Characterization by Partial Autocorrelation Matrices

Abstract

It is known that the autocorrelation function of a stationary discrete-time scalar process can be uniquely characterized by the so-called partial autocorrelation function, which is a sequence of numbers less or equal to one in magnitude. We show here that the matrix covariance function of a multivariate stationary process can be characterized by a sequence of matrix partial correlations, having singular values less than or equal to one in magnitude. This characterization can be used to extend to the multivariate case the so-called maximum entropy spectral analysis method.