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 V ∈ L(H) be an isometry. The Wold decomposition states that every isometry V takes the form
:
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:
:
where V(H) denotes the range of V. The above defined Hi = Vi(H). If one defines
:
then
:
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
:
where each Hα is an invariant subspaces of V and V restricted to each Hα is the unilateral shift S. Therefore
:
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, 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
:
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 V ∈ L(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 f ∈ C(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:
- The semicommutator is compact.
The Wold decomposition says that V is the direct sum of copies of Tz and then some unitary U:
:
So we invoke the continuous functional calculus f → f(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 f ∈ C(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 }}
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