Weakly stationary stochastic processes valued in a separable Hilbert space: Gramian-Cramér representations and applications - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year :

Weakly stationary stochastic processes valued in a separable Hilbert space: Gramian-Cramér representations and applications

Abstract

The spectral theory for weakly stationary processes valued in a separable Hilbert space has known renewed interest in the past decade. Here we follow earlier approaches which fully exploit the normal Hilbert module property of the time domain. The key point is to build the Gramian-Cramér representation as an isomorphic mapping from the modular spectral domain to the modular time domain. We also discuss the general Bochner theorem and provide useful results on the composition and inversion of lag-invariant linear filters. Finally, we derive the Cramér-Karhunen-Loève decomposition and harmonic functional principal component analysis, which are established without relying on additional assumptions.
Fichier principal
Vignette du fichier
filtering-hilbert-esaim-v3.pdf (522 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-02318267 , version 1 (16-10-2019)
hal-02318267 , version 2 (04-12-2019)
hal-02318267 , version 3 (06-07-2020)
hal-02318267 , version 4 (11-09-2021)
hal-02318267 , version 5 (03-06-2022)
hal-02318267 , version 6 (05-10-2022)

Identifiers

  • HAL Id : hal-02318267 , version 6

Cite

Amaury Durand, François Roueff. Weakly stationary stochastic processes valued in a separable Hilbert space: Gramian-Cramér representations and applications. 2022. ⟨hal-02318267v6⟩
677 View
374 Download

Share

Gmail Facebook Twitter LinkedIn More