Proper moving average representations and outer functions in two variables
Let NEWLINE\[NEWLINEX_n=\sum_{k=0}^{\infty} a_k\xi_{n-k}\tag{*}NEWLINE\]NEWLINE be an MA\((\infty)\) process with the spectral density \(f(e^{i\lambda}) = |(\varphi(e^{i\lambda})|^2\) where \(\varphi(e^{i\lambda})= \sum_{k=0}^{\infty} \bar a_k e^{ik\lambda}\). The representation (*) is proper if the Hilbert space spanned on \(\{X_k, k\leq n\}\) is the same as the Hilbert space spanned on \(\{\xi_k, k\leq n\}\), for each \(n\). It is known that the MA representation (*) is proper if \(\varphi(e^{i\lambda})\) is \(H\)-outer function. The authors study MA representations for weakly stationary random fields \(X_t\) under half-spaces, semigroups, and quarter-planes. It is shown that the outer property of the factor of the spectral density of \(X_t\) is equivalent to the properness of the semigroup induced MA representation. This result is used to relate \(\lambda\)-outer functions in one variable and half-space MA representation.
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