The maximal J-regular part of a q-variate weakly stationary process

• Autorzy: Klotz L.
• Języki publikacji: EN

Abstrakty

EN

Let x be a q-variate (weakly) stationary process over a locally compact Abelian group G, and J a family of subsets of G invariant under translation. We show that the set of all regular non-negative Hermitian matrix-valued measures M not exceeding the (non-stochastic) spectral measure of x and such that the Hilbert space L²(M) is J-regular contains a unique maximal element. Moreover, this maximal element coincides with the spectral measure of the J-regular part of the Wold decomposition of x.

Słowa kluczowe

EN

Hilbert space; Hermitian matrix; Wold decomposition

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2002
• Tom: Vol. 22, Fasc. 1
• Strony: 155--165
• Opis fizyczny: Biblogr. 13 poz.

Twórcy

autor

Klotz L.

• Fakultät für Mathematik und Informatik, Universität Leipzig, 04109 Leipzig, Germany

Bibliografia

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