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

L. Baratchart; L. Golinskii; S. Kupin

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arXiv · 1007.1363

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

L. Baratchart·L. Golinskii·S. Kupin

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Abstract

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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BibTeX RIS

L. Baratchart, L. Golinskii, S. Kupin. 2010-07-08. Multipoint Schur algorithm, II: generalized moment problems, Gaussian processes and prediction. https://arxiv.org/abs/1007.1363

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