The operator valued autoregressive filter problem and the suboptimal Nehari problem in two variables

DOI10.1007/S00020-005-1361-9MaRDI QIDQ816941zbMATH OpenOpenAlexFDO

Authors Jeffrey S. Geronimo, Hugo J. Woerdeman

Publication date 2 March 2006

Published in Integral Equations and Operator Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0412508

zbMATH Keywords

autoregressive filterHankel operatorpositive semidefinitestabilityToeplitz matrixtwo variable Nehari problemtwo-variable polynomial

Mathematics Subject Classification ID

Positive matrices and their generalizations; cones of matrices (15B48) Orthogonal functions and polynomials, general theory of nontrigonometric harmonic analysis (42C05) Analysis on ordered groups, (H^p)-theory (43A17) Dilations, extensions, compressions of linear operators (47A20) Linear operator methods in interpolation, moment and extension problems (47A57) Toeplitz operators, Hankel operators, Wiener-Hopf operators (47B35) Prediction theory (aspects of stochastic processes) (60G25)

Abstract: Necessary and sufficient conditions are given for the solvability of the operator valued two-variable autoregressive filter problem. In addition, in the two variable suboptimal Nehari problem sufficient conditions are given for when a strictly contractive little Hankel has a strictly contractive symbol.

Review text

A two variable version of the autoregressive filter problem had not been completely solved until recently [\textit{J.~S.\ Geronimo} and \textit{H.~J.\ Woerdeman}, Ann.\ Math.\ (2) 160, No.~3, 839--906 (2005; Zbl 1084.42019)]. In the paper under review, the authors consider a generalization of this problem to the operator case. In order to ensure the existence of a solution, they observe that, besides an expected positive definiteness of a doubly Toeplitz matrix, a commutativity condition (not mentioned explicitly in [op.cit.]) for certain matrices built in terms of the correlation coefficients is also necessary. Finally, the two-variable Nehari problem is studied. In this context, \textit{S.~H.\ Ferguson} and \textit{M.~T.\ Lacey} [Acta Math.\ 189, No.~2, 143--160 (2002; Zbl 1039.47022)] proved that every bounded little Hankel operator has an essentially bounded symbol. Since, in contrast to the one-variable case, one cannot find, in general, a symbol \(\psi\) of a little Hankel operator \(h\) such that \(\| h\| =\| \psi\| _\infty\), the authors indicate some sufficient conditions under which \(\| h\| <1\) implies the existence of a symbol \(\psi\) with \(\| \psi\| _\infty <1\).

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