An interpolation problem for Hilbert-Schmidt operator-valued stationary processes (Q5945540)

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.