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

2019/10/16 by Amaury Durand, Durand, Amaury, François Roueff +1
Mathematics · Economics, Econometrics and Finance · Physics and Astronomy · #Mathematical Analysis and Transform Methods #Stochastic processes and financial applications #Statistical Mechanics and Entropy

paper · pdf · doi:10.48550/arxiv.1910.08491

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.

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