Approximation of stationary processes and Toeplitz Spectra
Probability
2020-09-15 v1
Abstract
We study the approximation of stationary processes by a simple class of purely deterministic signals. This has an analytic counterpart in the approximation of symmetric positive definite Toeplitz matrices by submatrices of finite rank. We propose a notion of distance between them and prove a weak sense approximation result.
Cite
@article{arxiv.2009.05758,
title = {Approximation of stationary processes and Toeplitz Spectra},
author = {Giorgio Picci and Bin Zhu},
journal= {arXiv preprint arXiv:2009.05758},
year = {2020}
}