Approximation of stationary processes and Toeplitz Spectra

Published 12 Sep 2020 in math.PR | (2009.05758v1)

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.

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