Rational qtimes q Carath\'eodory Functions and Central Non-negative Hermitian Measures
classification
🧮 math.CV
math.PR
keywords
centralmeasurestimescaratheodoryexplicitfunctionsnon-negative
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We give an explicit representation of central measures corresponding to finite Toeplitz non-negative definite sequences of complex $q\times q$ matrices. Such measures are intimately connected to central $q\times q$ Carath\'eodory functions. This enables us to prove an explicit representation of the non-stochastic spectral measure of an arbitrary multivariate autoregressive stationary sequence in terms of the covariance sequence.
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