Some properties of solutions of Yule-Walker type equations (Q1194279): Difference between revisions

The author considers the equation \(-[L_ 0L_ 1\ldots L_{\ell- 1}]H=[H_ \ell H_{\ell+1} \ldots H_{2 \ell-2}U]\), where \(H=[H_{i+j}]^{\ell-1}_{i,j=0}\) is a Hermitian \(\ell n\times\ell n\) block Hankel matrix with \(n \times n\) blocks and \(U\) is an \(n \times n\) matrix. For an appropriate choice of \(U\), this equation produces a monic matrix polynomial whose spectral distribution can be described in terms of the inertia of \(H\). Conversely, given a monic matrix polynomial \(L(\lambda)\), conditions on \(L(\lambda)\) are found to assure the existence of an invertible Hermitian Hankel matrix \(H\) such that this equation holds for a specific \(U\). Corresponding results for block Toeplitz matrices are also presented.