An Extension Problem for Discrete-Time Almost Periodically Correlated Stochastic Processes

Authors

Daniel Alpay, Chapman UniversityFollow
Boris Freydin, Ben Gurion University of the Negev
Philippe Loubaton, Université de Marne la Vallée

Document Type

Article

Publication Date

2000

Abstract

In (D. Alpay, A. Chevreuil, Ph. Loubaton, J. Time Ser. Anal., 2000, to appear) an extension problem for covariance matrix of discrete-time periodically correlated stochastic processes introduced by Gladyshev was treated. In this paper we study the same problem for discrete-time almost periodically correlated stochastic processes. This problem can be reformulated and solved within the framework of interpolation for upper triangular operators. More precisely one can reduce the problem to an interpolation problem in the class of upper triangular operators of the Schur class.

Comments

This article was originally published in Linear Algebra and its Applications, volume 308, in 2000. DOI: 10.1016/S0024-3795(00)00043-4

Recommended Citation

D. Alpay, B. Freydin and Ph. Loubaton. An extension problem for discrete-time almost periodically correlated stochastic processes. Linear Algebra and its applications (308) 1-3 (2000) pp. 163-181.

Peer Reviewed

1

Copyright

Elsevier