Szegő's theorem and its probabilistic descendants
From MaRDI portal
Publication:1950169
DOI10.1214/11-PS178zbMath1285.60037arXiv1108.0368MaRDI QIDQ1950169
Publication date: 10 May 2013
Published in: Probability Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1108.0368
prediction; long-range dependence; stationary process; orthogonal polynomials on the unit circle; Szegő's theorem; partial autocorrelation function; Verblunsky's theorem
60G10: Stationary stochastic processes
42C05: Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis
60G25: Prediction theory (aspects of stochastic processes)
Related Items
Spectra of Stationary Processes on $$\mathbb{Z}$$, Predictive sets, Extensions of Rosenblatt's results on the asymptotic behavior of the prediction error for deterministic stationary sequences, The Life, Work, and Legacy of P. L. Chebyshev, Linear algebra and multivariate analysis in statistics: development and interconnections in the twentieth century, Hardy, Littlewood and probability, Aspects of prediction, Stationary Random Fields on the Unitary Dual of a Compact Group, Modelling and Prediction of Financial Time Series, Unnamed Item, On recovery of discrete time signals with single-point spectrum degeneracy, Asymptotic behavior of the prediction error for stationary sequences, Gärtner-Ellis condition for squared asymptotically stationary Gaussian processes, CMV matrices, a matrix version of Baxter's theorem, scattering and de Branges spaces, On the empirical spectral distribution for matrices with long memory and independent rows, Multivariate prediction and matrix Szegő theory, On causal extrapolation of sequences with applications to forecasting, A spectral Szegő theorem on the real line, On asymptotic behavior of the prediction error for a class of deterministic stationary sequences, Prediction theory for stationary functional time series, On hyperbolic decay of prediction error variance for deterministic stationary sequences, Generalised Partial Autocorrelations and the Mutual Information Between Past and Future
Uses Software
Cites Work
- An explicit representation of Verblunsky coefficients
- Scattering theory for CMV matrices: Uniqueness, Helson-Szegő and strong Szegő theorems
- Canonical correlations of past and future for time series: Bounds and computation
- Time series in the frequency domain
- Extreme points and extremum problems in \(H_1\)
- Exposed points and extremal problems in \(H_ 1\)
- Meromorphic Szegő functions and asymptotic series for Verblunsky coefficients
- Szegő via Jacobi
- Canonical partial autocorrelation function of a multivariate time series
- Fundamentals of stochastic filtering
- Basic properties of strong mixing conditions. A survey and some open questions
- An operator perspective on signals and systems
- Canonical correlations of past and future for time series: Definitions and theory
- Time series in the time domain
- Asymptotics for the ratio of leading coefficients of orthonormal polynomials on the unit circle
- Fourier-Stieltjes coefficients and asymptotic distribution modulo 1
- Exposed points and external problems in \(H^ 1\). II
- Continuous frame decomposition and a vector Hunt-Muckenhoupt-Wheeden theorem
- A norm inequality for a 'finite-section' Wiener-Hopf equation
- Characterizations of completely nondeterministic stochastic processes
- A boundary value problem related to the Ginzburg-Landau model
- Time series: theory and methods.
- Gibbs measures and phase transitions
- Characterization of the partial autocorrelation function
- Consistent autoregressive spectral estimates
- Introduction to large truncated Toeplitz matrices
- Seventy years of Rajchman measures
- Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing.
- A Fredholm determinant formula for Toeplitz determinants
- On a Toeplitz determinant identity of Borodin and Okounkov
- Asymptotics for the partial autocorrelation function of a stationary process
- Notes on random functions
- Spectral densities describing off-white noises
- Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes.
- John W. Tukey's work on time series and spectrum analysis.
- Multivariate prediction and matrix Szegő theory
- On the parametrization of autoregressive models by partial autocorrelations
- On processes with summable partial autocorrelations
- Weighted trigonometrical approximation on \(R^ 1\) with application to the germ field of a stationary Gaussian noise
- One cannot hear the winding number
- AR and MA representation of partial autocorrelation functions, with applications
- Explicit representation of finite predictor coefficients and its applications
- A problem in prediction theory
- \(H^p\) spaces of several variables
- On two problems concerning linear transformations in Hilbert space
- Toeplitz matrices, translation kernels and a related problem in probability theory
- Can One Use the Durbin–Levinson Algorithm to Generate Infinite Variance Fractional ARIMA Time Series?
- Weighing the Odds
- G. H. HARDY AND PROBABILITY???
- The Fitting of Time-Series Models
- Long Memory in Economics
- Partial autocorrelation parameterization for subset autoregression
- Some Notes on Mutual Information Between Past and Future
- Applications of the Fuglede-Kadison determinant: Szegö’s theorem and outers for noncommutative $H^p$
- Regression
- Riesz and Szeg\"o type factorizations for noncommutative Hardy spaces
- Characterizations of measures whose Fourier-Stieltjes transforms vanish at infinity
- ON THE ASYMPTOTICS OF THE RATIO OF ORTHOGONAL POLYNOMIALS. II
- An Asymptotic Result for the Finite Predictor.
- Scattering theory and polynomials orthogonal on the unit circle
- Fractional differencing
- Functions of Vanishing Mean Oscillation
- q-variate minimal stationary processes
- Gaussian Hilbert Spaces
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On Positive Harmonic Functions: A Contribution to the Algebra of Fourier Series
- MODEL SELECTION AND ORDER DETERMINATION FOR TIME SERIES BY INFORMATION BETWEEN THE PAST AND THE FUTURE
- Verblunsky coefficients and Nehari sequences
- Shapes of stationary autocovariances
- The Random-Cluster Model
- On multipliers preserving convergence of trigonometric series almost everywhere
- Characterizations of bounded mean oscillation
- Past and Future
- An exponential model for the spectrum of a scalar time series
- Weighted Norm Inequalities for the Conjugate Function and Hilbert Transform
- OPUC on one foot
- A Convergence Equivalence Related to Polynomials Orthogonal on the Unit Circle
- Harmonic analysis.
- Wavelets and the angle between past and future
