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2012 Multivariate prediction and matrix Szegö theory
N.H. Bingham
Probab. Surveys 9: 325-339 (2012). DOI: 10.1214/12-PS200


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).


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N.H. Bingham. "Multivariate prediction and matrix Szegö theory." Probab. Surveys 9 325 - 339, 2012.


Published: 2012
First available in Project Euclid: 23 July 2012

zbMATH: 1285.60038
MathSciNet: MR2956574
Digital Object Identifier: 10.1214/12-PS200

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

Rights: Copyright © 2012 The Institute of Mathematical Statistics and the Bernoulli Society

Vol.9 • 2012
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