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Prediction for two processes and the Nehari problem. (English) Zbl 0870.42002

Nehari’s trigonometric moment problem is the following: When one-sided \(\{\gamma_j\}\) \((j\leq 0)\) coincides with the corresponding Fourier coefficients of a function in modulus by 1. The analog between Nehari’s moment problem and prediction theory for random processes is derived. This approach gives an opportunity to obtain some assertions from prediction theory for two stationary stochastic processes.
The unified treatment of the Nehari moment problem is also obtained.

MSC:

42A70 Trigonometric moment problems in one variable harmonic analysis
60G25 Prediction theory (aspects of stochastic processes)
94A17 Measures of information, entropy
15A09 Theory of matrix inversion and generalized inverses
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References:

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