The spectral measure of a regular stationary random field with the weak or strong commutation property

DOI10.1214/AOP/1176989117MaRDI QIDQ688037zbMATH OpenOpenAlexFDO

Authors R. Cheng

Publication date 20 June 1994

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176989117

zbMATH Keywords

predictionregular stationary random fieldspectral densityspectral measurestrong commutation property

Mathematics Subject Classification ID

(H^p)-spaces, Nevanlinna spaces of functions in several complex variables (32A35) Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25) Random fields (60G60)

Review text

The problem of the spectral measure of a regular stationary random field with the weak or strong commutation property is studied. It is shown that a regular stationary random field over the plane possesses the weak commutation property if and only if its spectral density function admits a weakly outer factorization in the Hardy space \(H^ 2\) on the 2- dimensional torus. A similar statement is proved for the strong commutation property. Application to prediction is discussed.

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