Multivariate Lag-Windows and Group Representations

Abstract

Symmetries of the auto-cumulant function (the generalization of the auto-covariance function) of a kth-order stationary time series are derived through a connection with the symmetric group of degree k. Using theory of group representations, symmetries of the auto-cumulant function are demystified and lag-window functions are symmetrized to satisfy these symmetries. A generalized Gabr-Rao optimal kernel, used to estimate general kth-order spectra, is also derived through the developed theory.