Multivariate prediction and matrix Szegő theory
From MaRDI portal
Publication:1950170
DOI10.1214/12-PS200zbMath1285.60038arXiv1203.0962MaRDI QIDQ1950170
Publication date: 10 May 2013
Published in: Probability Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1203.0962
multivariate prediction; Szegő's theorem; vector-valued stationary process; multivariate orthogonal polynomials on the unit circle; Verblunsky's theorem
60G10: Stationary stochastic processes
47B35: Toeplitz operators, Hankel operators, Wiener-Hopf operators
60G25: Prediction theory (aspects of stochastic processes)
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