Multivariate prediction and matrix Szegö theory

N.H. Bingham

doi:10.1214/12-PS200

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2012 Multivariate prediction and matrix Szegö theory

N.H. Bingham

Probab. Surveys 9(none): 325-339 (2012). DOI: 10.1214/12-PS200

Abstract

Following the recent survey by the same author of Szegö’s theorem and orthogonal polynomials on the unit circle (OPUC) in the scalar case, we survey the corresponding multivariate prediction theory and matrix OPUC (MOPUC).

Citation

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N.H. Bingham. "Multivariate prediction and matrix Szegö theory." Probab. Surveys 9 325 - 339, 2012. https://doi.org/10.1214/12-PS200

Information

Published: 2012

First available in Project Euclid: 23 July 2012

zbMATH: 1285.60038

MathSciNet: MR2956574

Digital Object Identifier: 10.1214/12-PS200

Subjects:

Primary: 60G10

Secondary: 60G25

Keywords: Kolmogorov isomorphism theorem, multivariate orthogonal polynomials on the unit circle (MOPUC), multivariate prediction theory, stationary process, Szegö’s theorem, vector-valued, Verblunsky’s theorem