Spectral representation and extrapolation of stationary random processes on linear spaces

MaRDI QIDQ2772074zbMATH OpenFDO

Authors Manfred Riedel, L. Klotz

Publication date 18 February 2002

Published in Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

continuous Hilbert-Schmidt operator-valued processeslinear spacesstationary random processes

Mathematics Subject Classification ID

Applications of operator theory in probability theory and statistics (47N30) Stationary stochastic processes (60G10)

Review text

The authors study continuous Banach-space-valued stationary processes \({\mathbf X}\) on a linear space \({\mathcal L}\) over \({\mathbb R}\). An analogue of Stone's theorem for a group of unitary operators over \({\mathcal L}\) is derived. An application of this result gives a spectral representation for \({\mathbf X}\) and its covariance function. Prediction problems are studied for continuous Hilbert-Schmidt operator-valued stationary processes on \({\mathcal L}\) using integral representation of the spectral space of the processes.

Recommendations

• SPECTRAL REPRESENTATION AND ERGODICITY OF ASYMPTOTICALLY STATIONARY PROCESSES
• A spectral representation of a class of nonstationary processes
• Explicit extrapolation of stationary processes with generalized rational spectral density
• On spectral representation of multivariate stable processes
• scientific article; zbMATH DE number 796432
• scientific article; zbMATH DE number 1193501
• On the spectral density of stationary processes and random fields

Cited in

(11)

• Applications of autoreproducing kernel Grammian moduli to \({\mathcal S}(U,H)\)-valued stationary random functions
• Spectral theory of stationary random fields and their generalizations. A short historical survey
• Multivariate prediction, de Branges spaces, and related extension and inverse problems
• Prediction theory for stationary functional time series
• scientific article; zbMATH DE number 5832961 (Why is no real title available?)
• scientific article; zbMATH DE number 3881554 (Why is no real title available?)
• On Linear Operations on Stationary and Non Stationary Random Processes
• The Structure and Analysis of Spherical Time-Dependent Processes
• scientific article; zbMATH DE number 3901746 (Why is no real title available?)
• scientific article; zbMATH DE number 3919461 (Why is no real title available?)
• Weakly stationary stochastic processes valued in a separable Hilbert space: Gramian-cramér representations and applications

This page was built for publication: Spectral representation and extrapolation of stationary random processes on linear spaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2772074)