A linear filtering problem in complete correlated actions

Ion Suciu and Ilie Valusescu

Journal of Multivariate Analysis, 1979, vol. 9, issue 4, 599-613

Abstract: In the last paper, the geometry of the Sz.-Nagy-Foias model for contraction operators on Hilbert spaces was used to advantage in several problems of multivariate analysis. The lifting of intertwining operators, one of the basic results from the Sz.-Nagy-Foias theory, is now recognized as the most adequate operatorial form of the deep classical results of the extrapolation theory. The labeling of the exact intertwining dilations given by [1]Acta Sci. Math. (Szeged) 40 9-32] and the recursive methods used there open a broad perspective for using the Sz.-Nagy-Foias model in multivariate filtering theory. In this paper, using the notion of correlated action (see [5 and 6] Rev. Roumaine Math. Pures Appl. 23, No. 9 1393-1423]) as a time domain, a linear filtering problem is formulated and its solution in terms of the coefficients of the analytic function which factorizes the spectral distribution of the known data and the coefficients of an analytic function which describes the cross correlations is given. In some special cases it is shown that the filter coefficients can be determined using recursive methods from the intertwining dilation theory, of the autocorrelation function of the known data and an intertwining operator, interpreted as the initial estimator given by the prior statistics.

Keywords: Complete; correlated; actions; stationary; processes; spectral; distribution; white; noise; the; maximal; outer; function; filtering; problems; exact; intertwining; dilations (search for similar items in EconPapers)
Date: 1979
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