Rational \(q \times q\) Carathéodory functions and central non-negative Hermitian measures (Q1626073)

The study starts from the problem to determine the spectral measure of a central Toeplitz non-negative sequence of complex matrices. A part of the problem was solved in [\textit{B. Fritzsche} and \textit{B. Kirstein}, Integral Equations Oper. Theory 50, No. 3, 333--361 (2004; Zbl 1078.30032)]. The considered problem is now solved by finding an explicit expression for the Riesz-Herglotz measure of a rational matrix-valued Carathéodory function. Then an explicit description of the spectral measure of the central Toeplitz non-negative definite sequences of complex matrices is obtained. Applying the results to the theory of multivariate stationary sequences, the non-stochastic spectral measure of a multivariate autoregresive stationary sequence is characterized by its covariance sequence. The paper is organized in six sections and an appendix, where some needed facts from matrix theory are presented. After an introduction into the topic in the first section, in the second section an explicit representation of the Riesz-Herglotz measure of arbitrary rational matrix-valued Carathéodory functions is obtained. In the third section, the truncated matricial trigonometric moment problem is analyzed, and in the fourth section the so-called central non-negative Hermitian measures are studied. In the fifth section, an explicit representation of the Riesz-Herglotz measure of arbitrary central matrix-valued Carathéodory functions is recalled, and some examples are given. The sixth section of the paper is devoted to the study of non-stochastic spectral measures of arbitrary autoregressive stationary sequences, obtaining an explicit representation in terms of the covariance sequence. For the entire collection see [Zbl 1388.46001].