Wold's decomposition

{{about|the general mathematical result|the application to time series analysis|Wold's theorem}}

In mathematics, particularly in operator theory, Wold decomposition or Wold–von Neumann decomposition, named after Herman Wold and John von Neumann, is a classification theorem for isometric linear operators on a given Hilbert space. It states that every isometry is a direct sum of copies of the unilateral shift and a unitary operator.

In time series analysis, the theorem implies that every stationary discrete-time stochastic process can be decomposed into a pair of uncorrelated processes, one deterministic, and the other being a moving average process.

Details

Let H be a Hilbert space, L(H) be the bounded operators on H, and VL(H) be an isometry. The Wold decomposition states that every isometry V takes the form

:V = \left(\bigoplus_{\alpha \in A} S\right) \oplus U

for some index set A, where S is the unilateral shift on a Hilbert space Hα, and U is a unitary operator (possible vacuous). The family {Hα} consists of isomorphic Hilbert spaces.

A proof can be sketched as follows. Successive applications of V give a descending sequences of copies of H isomorphically embedded in itself:

:H = H \supset V(H) \supset V^2 (H) \supset \cdots = H_0 \supset H_1 \supset H_2 \supset \cdots,

where V(H) denotes the range of V. The above defined Hi = Vi(H). If one defines

:M_i = H_i \ominus H_{i+1} = V^i (H \ominus V(H)) \quad \text{for} \quad i \geq 0 \;,

then

:H = \left( \bigoplus_{i \geq 0} M_i \right) \oplus \left( \bigcap_{i \geq 0} H_i \right) = K_1 \oplus K_2.

It is clear that K1 and K2 are invariant subspaces of V.

So V(K2) = K2. In other words, V restricted to K2 is a surjective isometry, i.e., a unitary operator U.

Furthermore, each Mi is isomorphic to another, with V being an isomorphism between Mi and Mi+1: V "shifts" Mi to Mi+1. Suppose the dimension of each Mi is some cardinal number α. We see that K1 can be written as a direct sum Hilbert spaces

:K_1 = \oplus H_{\alpha}

where each Hα is an invariant subspaces of V and V restricted to each Hα is the unilateral shift S. Therefore

:V = V \vert_{K_1} \oplus V\vert_{K_2} = \left(\bigoplus_{\alpha \in A} S \right) \oplus U,

which is a Wold decomposition of V.

= Remarks =

It is immediate from the Wold decomposition that the spectrum of any proper, i.e. non-unitary, isometry is the unit disk in the complex plane.

An isometry V is said to be pure if, in the notation of the above proof, \bigcap_{i\ge0} H_i = \{0\}. The multiplicity of a pure isometry V is the dimension of the kernel of V*, i.e. the cardinality of the index set A in the Wold decomposition of V. In other words, a pure isometry of multiplicity N takes the form

:V = \bigoplus_{1 \le \alpha \le N} S .

In this terminology, the Wold decomposition expresses an isometry as a direct sum of a pure isometry and a unitary operator.

A subspace M is called a wandering subspace of V if Vn(M) ⊥ Vm(M) for all n ≠ m. In particular, each Mi defined above is a wandering subspace of V.

A sequence of isometries

{{Expand section|date=June 2008}}

The decomposition above can be generalized slightly to a sequence of isometries, indexed by the integers.

The C*-algebra generated by an isometry

Consider an isometry VL(H). Denote by C*(V) the C*-algebra generated by V, i.e. C*(V) is the norm closure of polynomials in V and V*. The Wold decomposition can be applied to characterize C*(V).

Let C(T) be the continuous functions on the unit circle T. We recall that the C*-algebra C*(S) generated by the unilateral shift S takes the following form

:C*(S) = {Tf + K | Tf is a Toeplitz operator with continuous symbol fC(T) and K is a compact operator}.

In this identification, S = Tz where z is the identity function in C(T). The algebra C*(S) is called the Toeplitz algebra.

Theorem (Coburn) C*(V) is isomorphic to the Toeplitz algebra and V is the isomorphic image of Tz.

The proof hinges on the connections with C(T), in the description of the Toeplitz algebra and that the spectrum of a unitary operator is contained in the circle T.

The following properties of the Toeplitz algebra will be needed:

  1. T_f + T_g = T_{f+g}.\,
  2. T_f ^* = T_{{\bar f}} .
  3. The semicommutator T_fT_g - T_{fg} \, is compact.

The Wold decomposition says that V is the direct sum of copies of Tz and then some unitary U:

:V = \left( \bigoplus_{\alpha \in A} T_z \right) \oplus U.

So we invoke the continuous functional calculus ff(U), and define

:

\Phi : C^*(S) \rightarrow C^*(V) \quad \text{by} \quad \Phi(T_f + K) = \bigoplus_{\alpha \in A} (T_f + K) \oplus f(U).

One can now verify Φ is an isomorphism that maps the unilateral shift to V:

By property 1 above, Φ is linear. The map Φ is injective because Tf is not compact for any non-zero fC(T) and thus Tf + K = 0 implies f = 0. Since the range of Φ is a C*-algebra, Φ is surjective by the minimality of C*(V). Property 2 and the continuous functional calculus ensure that Φ preserves the *-operation. Finally, the semicommutator property shows that Φ is multiplicative. Therefore the theorem holds.

References

  • {{cite journal |first=L. |last=Coburn |title=The C*-algebra of an isometry |journal=Bull. Amer. Math. Soc. |volume=73 |issue=5 |year=1967 |pages=722–726 |doi=10.1090/S0002-9904-1967-11845-7 |doi-access=free }}
  • {{cite book |first=T. |last=Constantinescu |title=Schur Parameters, Factorization and Dilation Problems |publisher=Birkhäuser |series=Operator Theory, Advances and Applications |volume=82 |year=1996 |isbn=3-7643-5285-X |url=https://books.google.com/books?id=aEwoy7k8ufcC }}
  • {{cite book |first=R. G. |last=Douglas |title=Banach Algebra Techniques in Operator Theory |publisher=Academic Press |year=1972 |isbn=0-12-221350-5 |url=https://books.google.com/books?id=_xvDk-mOiHIC }}
  • {{cite book |first=Marvin |last=Rosenblum |first2=James |last2=Rovnyak |title=Hardy Classes and Operator Theory |publisher=Oxford University Press |year=1985 |isbn=0-19-503591-7 |url=https://books.google.com/books?id=PchPAQAAIAAJ }}

{{Functional analysis}}

{{Hilbert space}}

Category:Operator theory

Category:Invariant subspaces

Category:C*-algebras

Category:Theorems in functional analysis

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