The trace problem for Toeplitz matrices and operators and its impact in probability

DOI10.1214/13-PS217zbMATH Open1348.60054arXiv1304.6703OpenAlexW2963350718MaRDI QIDQ485898FDOQ485898

Authors: M. S. Ginovyan, Artur Sahakian, Murad S. Taqqu 

Publication date: 14 January 2015

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

Abstract: The trace approximation problem for Toeplitz matrices and its applications to stationary processes dates back to the classic book by Grenander and Szeg"o, "Toeplitz forms and their applications". It has then been extensively studied in the literature. In this paper we provide a survey and unified treatment of the trace approximation problem both for Toeplitz matrices and for operators and describe applications to discrete- and continuous-time stationary processes. The trace approximation problem serves indeed as a tool to study many probabilistic and statistical topics for stationary models. These include central and non-central limit theorems and large deviations of Toeplitz type random quadratic functionals, parametric and nonparametric estimation, prediction of the future value based on the observed past of the process, etc. We review and summarize the known results concerning the trace approximation problem, prove some new results, and provide a number of applications to discrete- and continuous-time stationary time series models with various types of memory structures, such as long memory, anti-persistent and short memory.

Full work available at URL: https://arxiv.org/abs/1304.6703

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• scientific article; zbMATH DE number 474431

zbMATH Keywords

central limit theoremestimationsingularityspectral densityToeplitz matrixlarge deviationsstationary processToeplitz operatortrace approximation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Large deviations (60F10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Toeplitz, Cauchy, and related matrices (15B05) Toeplitz operators, Hankel operators, Wiener-Hopf operators (47B35)

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Cited In (13)

• On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models
• Toeplitz Operators and Random Matrices
• Corrigendum: Error bounds and asymptotic expansions for Toeplitz product functionals of unbounded spectra
• Statistical estimation for stationary models with tapered data
• Statistical inference for stationary linear models with tapered data
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• Title not available (Why is that?)
• Estimation of spectral functionals for Lévy-driven continuous-time linear models with tapered data
• Title not available (Why is that?)
• Limit theorems for tapered Toeplitz quadratic functionals of continuous-time Gaussian stationary processes
• Goodness-of-fit tests for stationary Gaussian processes with tapered data
• Functional limit theorems for Toeplitz quadratic functionals of continuous time Gaussian stationary processes
• Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications

Uses Software

• longmemo

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