Discrete spectrum of nonstationary stochastic processes on groups (Q1272502): Difference between revisions

Let \(G\) be a locally compact abelian group, let \(H\) denote a complex Hilbert space. The authors consider \(H\)-valued stochastic processes \(X(t)\), where the parameter \(t\) takes values in the group \(G\). Let \(m\) denote the Haar measure on \(G\) and \((A_n)_{n\in\mathbb{N}}\) a sequence of neighbourhoods of the unit exhausting \(G\). Generalizing the classical theory \((G= \mathbb{R}^d\times \mathbb{Z}^m)\), sequences \((A_n)\) define translation invariant means on suitable function spaces. This concept leads to a definition of ``asymptotically stationary processes'' (independent from the particular sequence \(A_n\)), generalizing e.g. the concepts of weakly stationary processes, processes with periodic resp. almost periodic covariance function or strongly harmonizable processes. Under additional assumptions the covariance function of the process \(X(\cdot)\) turns out to be continuous and positive definite and defines therefore the ``spectral measure'' on \(\widehat G\) associated with \(X(\cdot)\). In Section 5 the authors obtain (generalizing the situation of almost periodic functions and of harmonizable processes) a characterization of processes \(X(\cdot)\) with discrete spectral measure (Theorem 2), which leads under suitable moment conditions to consistent estimators for \(\mu(\chi)\), \(\chi\in\widehat G\), \(\mu\) denoting the spectral measure.