INNOVATION AND FACTORIZATION OF THE DENSITY OF A REGULAR
PC SEQUENCE
Abstract: In this paper we study an innovation representation of a periodically correlated (PC)
sequence and describe the factorization of the densities of a regular PC sequence
generated by its innovation. As a byproduct we obtain a certain factorization of
vector analytic functions which may be of interest in the theory of Hardy spaces.
2000 AMS Mathematics Subject Classification: Primary: 60G25; Secondary:
30H10.
Keywords and phrases: Periodically correlated sequence, prediction, innovation
process, factorization of analytic vector functions.