An interpolation problem for Hilbert-Schmidt operator-valued stationary processes

DOI10.4171/ZAA/1029MaRDI QIDQ5945540zbMATH OpenFDO

Authors L. Klotz

Publication date 23 May 2002

Published in Zeitschrift für Analysis und ihre Anwendungen (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4171/ZAA/1029

zbMATH Keywords

Hilbert-Schmidt operator-valued stationary processlinear interpolation

Mathematics Subject Classification ID

Linear operators belonging to operator ideals (nuclear, (p)-summing, in the Schatten-von Neumann classes, etc.) (47B10) Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25)

Review text

Assume that the values of the process on the integers are known. A. M. Yaglom studied the problem to determine the error of the best linear interpolation of an unknown value by the known values. Using Kolmogorov's isomorphism between time and spectral domains of a stationary process, he transferred the problem to the spectral domain of the observable process and solved it with the aid of elementary Hilbert space geometry. H. Salehi extended Yaglom's result to \(q\)-variate stationary processes and additionally gave the explicit form of the best linear interpolation. The present paper is devoted to the solution of Yaglom's interpolation problem for Hilbert-Schmidt operator-valued stationary processes. Since the class of these processes can be identified with the class of infinite-variate stationary processes, the obtained assertions can be regarded as generalizations of Yaglom's and Salehi's results.

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Cites work

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