A note on Wall's modification of the Schur algorithm and linear pencils of Jacobi matrices (Q2399762)

The circle of ideas connecting orthogonal polynomials on the unit circle (OPUC), the trigonometric moment problem, the interpolation of Carthéodory functions at the origin, the Szegő recurrence relation with Schur/Szegő parameters, and continued fractions is well known, and so is the analogous connection between orthogonal polynomials on the real line (OPRL), the Hamburger moment problem, the interpolation of Nevanlinna functions at infinity, the three-term recurrence relation, and Jacobi matrices. Szegő proposed a mapping between both, but \textit{H. S. Wall} [Analytic theory of continued fractions. New York: D. van Nostrand Company (1948; Zbl 0035.03601)] took a different approach via the Cayley transform that connects Carathéodory and Nevanlinna functions in a more natural way. This paper is about the latter, in particular about the way this influences the recurrences and the continued fraction expansions, which leads to a spectral interpretation of this approach to OPUC which is characterized by a pencil with two tridiagonal operators and a Denisov-Rakhmanov-type theorem giving the asymptotics of the defining parameters. Relations with the split Levinson algorithm [\textit{P. Delsarte} and \textit{Y. Genin}, SIAM J. Math. Anal. 19, No. 3, 718--735 (1988; Zbl 0638.30037)] and with type RI and RII continued fractions considered in [\textit{M. E. H. Ismail} and \textit{D. R. Masson}, J. Approx. Theory 83, No. 1, 1--40 (1995; Zbl 0846.33005)] are also given.