A note on Herglotz's theorem for time series on function spaces

01/12/2018

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by   Anne van Delft, et al.

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In this article, we prove Herglotz's theorem for Hilbert-valued time series. This requires the notion of an operator-valued measure, which we shall make precise for our setting. Herglotz's theorem for functional time series allows to generalize existing results that are central to frequency domain analysis on the function space. In particular, we use this result to prove the existence of a functional Cramér representation of processes with jumps in the spectral distribution, thereby enabling Fourier analysis for processes of which the spectal density operator is not a well-defined object.