This note deals with the orthogonality between sequences of random variables. The main idea of the note is to apply the results on equidistant systems of points in a Hilbert space to the case of the space L 2( ,F, P) of real square integrable random variables. The main result gives a necessary and sufficient condition for a particular sequence of random variables (elements of which are taken from sets of equidistant elements of L2( ,F, P)) to be orthogonal to some other sequence in L2( ,F, P). The result obtained is interesting from the point of view of the time series analysis, since it can be applied to a class of sequences random variables that exhibit a monotonically increasing variance. An application to ergodic theorem is also provided.

On a Characterization of Orthogonality with respect to a Particular Sequences of Random Variables in L^2

TRIACCA, UMBERTO;
2010

Abstract

This note deals with the orthogonality between sequences of random variables. The main idea of the note is to apply the results on equidistant systems of points in a Hilbert space to the case of the space L 2( ,F, P) of real square integrable random variables. The main result gives a necessary and sufficient condition for a particular sequence of random variables (elements of which are taken from sets of equidistant elements of L2( ,F, P)) to be orthogonal to some other sequence in L2( ,F, P). The result obtained is interesting from the point of view of the time series analysis, since it can be applied to a class of sequences random variables that exhibit a monotonically increasing variance. An application to ergodic theorem is also provided.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11697/12556
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