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Prediction for two processes and the nehari problem

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Abstract

We exploit an analogy between the trigonometric moment problem and prediction theory for a stationary stochastic process. Extending this theory, we show how to use correlations between two processes to predict one from the other. In turn, this gives rise to a simple and unified treatment of the Caratheodory and Nehari moment problems.

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Authors and Affiliations

  1. Tel-Aviv University, Ramat Aviv, Tel Aviv, Israel

    I. Gohberg

  2. Bell Laboratories, Lucent Technologies, 07974, Murray Hill, New Jersey

    H. J. Landau

Authors
  1. I. Gohberg
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  2. H. J. Landau
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Gohberg, I., Landau, H.J. Prediction for two processes and the nehari problem. The Journal of Fourier Analysis and Applications 3, 43–62 (1997). https://doi.org/10.1007/BF02647946

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  • DOI: https://doi.org/10.1007/BF02647946

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