
doi: 10.1137/1129042
The author extends \textit{K. Urbanik's} results [Coll. Math. 12, 115-129 (1964; Zbl 0126.335)] to Banach space valued strictly stationary sequences. Such basic results for prediction as the Wold decomposition and the moving average representation of a completely nondeterministic component are deduced. There is a lack of examples here. A case of Gaussian stationary processes was established earlier by \textit{S. A. Chobanjan} and the reviewer [J. Multivariate Anal. 11, 69-80 (1981; Zbl 0454.60008)]. The paper is based on a very interesting application of the Ryll- Nardzewski conjecture proved independently by the author (Th.2.1) and \textit{J. Rosiński} [Bull. Acad. Polon. Sci., Sér. Sci. Math. 30, 379- 383 (1982; Zbl 0517.28011)]. The author's version is as follows: Let K be a Banach space and \(T_ 1\), \(T_ 2\) independent K-valued cylindrical random elements such that \(T_ 1+T_ 2\) is representable, i.e. there exists a K-valued random variable z for which \(y(z)=T_ 1y+T_ 2y\), where \(y\in K^*\). Then there exist \(b\in (K^*)'\) and K-valued random variables \(z_ 1,z_ 2\) such that for every \(y\in K^*\) \(y(z_ j)=T_ j(y)+(\)-1)\({}^ jb(y)\), where \(j=1,2\). This means that \(T_ 1\) and \(T_ 2\) are representable after translation.
Wold decomposition, Stationary stochastic processes, Probability theory on linear topological spaces, moving average representation, Gaussian processes, Banach space valued strictly stationary sequences
Wold decomposition, Stationary stochastic processes, Probability theory on linear topological spaces, moving average representation, Gaussian processes, Banach space valued strictly stationary sequences
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