Multipoint Schur algorithm, II: generalized moment problems, Gaussian processes and prediction

Details Multipoint Schur algorithm, II: generalized moment problems, Gaussian processes and prediction Multipoint Schur algorithm, II: generalized moment problems, Gaussian processes and prediction

2010-07-08

arxiv.org/abs/1007.1363v1

Mathematics

Spectral Theory

a very preliminary version; 18 pages

Scientific paper

We use nowdays classical theory of generalized moment problems by Krein-Nudelman [1977] to define a special class of stochastic Gaussian processes. The class contains, of course, stationary Gaussian processes. We obtain a spectral representation for the processes from this class and we solve the corresponding prediction problem. The orthogonal rational functions on the unit circle lead to a class of Gaussian processes providing an example for the above construction.

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