Hilbert Space Representations of $m$-Dependent Processes

Valk, Vincent De

Ann. Probab., Tome 21 (1993) no. 4, p. 1550-1570 / Harvested from Project Euclid

Résumé

A representation of one-dependent processes is given in terms of Hilbert spaces, vectors and bounded linear operators on Hilbert spaces. This generalizes a construction of one-dependent processes that are not two-block-factors. We show that all one-dependent processes admit a representation. We prove that if there is in the Hilbert space a closed convex cone that is invariant under certain operators and that is spanned by a finite number of linearly independent vectors, then the corresponding process is a two-block-factor of an independent process. Apparently the difference between two-block-factors and non-two-block-factors is determined by the geometry of invariant cones. The dimension of the smallest Hilbert space that represents a process is a measure for the complexity of the structure of the process. For two-valued one-dependent processes, if there is a cylinder with measure equal to zero, then this process can be represented by a Hilbert space with dimension smaller than or equal to the length of this cylinder. In the two-valued case a cylinder (with measure equal to zero) whose length is minimal and less than or equal to 7 is symmetric. We generalize the concept of Hilbert space representation to $m$-dependent processes and it turns out that all $m$-dependent processes admit a representation. Several theorems can be generalized to $m$-dependent processes.

Détail

Publié le : 1993-07-14
Classification:  One-dependence,  block-factors,  Hilbert space representations,  stationary process,  $m$-dependence,  dynamical systems,  zero-cylinders,  invariant cones,  60G10,  28D05,  54H20,  52A20