THE MAXIMAL-REGULAR PART OF A-VARIATE WEAKLYSTATIONARY PROCESS
Lutz Klotz
Abstract: Let be a -variate (weakly) stationary process over a locally compact Abelian
group , and a family of subsets of invariant under translation. We show that the set
of all regular non-negative Hermitian matrix-valued measures not exceeding the
(non-stochastic) spectral measure of and such that the Hilbert space is
-regular contains a unique maximal element. Moreover, this maximal element coincides
with the spectral measure of the -regular part of the Wold decomposition of