Multivariate prediction and matrix Szegő theory

DOI10.1214/12-PS200zbMath1285.60038arXiv1203.0962MaRDI QIDQ1950170

Nicholas H. Bingham

Publication date: 10 May 2013

Published in: Probability Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.0962

zbMATH Keywords

multivariate prediction; Szegő's theorem; vector-valued stationary process; multivariate orthogonal polynomials on the unit circle; Verblunsky's theorem

Mathematics Subject Classification ID

60G10: Stationary stochastic processes

47B35: Toeplitz operators, Hankel operators, Wiener-Hopf operators

60G25: Prediction theory (aspects of stochastic processes)

Related Items

The Life, Work, and Legacy of P. L. Chebyshev, Hardy, Littlewood and probability, Aspects of prediction, Modelling and Prediction of Financial Time Series, CMV matrices, a matrix version of Baxter's theorem, scattering and de Branges spaces, Szegő's theorem and its probabilistic descendants, The two-periodic Aztec diamond and matrix valued orthogonal polynomials, Prediction theory for stationary functional time series, Closed-form expression for finite predictor coefficients of multivariate ARMA processes, Coefficient stripping in the matricial Nehari problem, Sum rules and large deviations for spectral measures on the unit circle

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