Abstract
We generalise the notion of wide-sense stationarity from sequences of complex-valued random variables indexed by the integers, to fields of random variables that are labelled by elements of the unitary dual of a compact group. The covariance is positive definite, and so it is the Fourier transform of a finite central measure (the spectral measure of the field) on the group. Analogues of the Cramer and Kolmogorov theorems are extended to this framework. White noise makes sense in this context and so, for some classes of group, we can construct time series and investigate their stationarity. Finally we indicate how these ideas fit into the general theory of stationary random fields on hypergroups.
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Acknowledgements
The author would like to thank N.H. Bingham for stimulating discussions about prediction, in relation to the ideas in [3], that inspired the work of this note. He is also indebted to H. Heyer for very helpful comments.
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Applebaum, D. (2016). Stationary Random Fields on the Unitary Dual of a Compact Group. In: Donati-Martin, C., Lejay, A., Rouault, A. (eds) Séminaire de Probabilités XLVIII. Lecture Notes in Mathematics(), vol 2168. Springer, Cham. https://doi.org/10.1007/978-3-319-44465-9_18
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DOI: https://doi.org/10.1007/978-3-319-44465-9_18
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