Multipoint Schur algorithm, II: generalized moment problems, Gaussian processes and prediction

Abstract: We use nowdays classical theory of generalized moment problems by Krein-Nudelman [1977] to define a special class of stochastic Gaussian processes. The class contains, of course, stationary Gaussian processes. We obtain a spectral representation for the processes from this class and we solve the corresponding prediction problem. The orthogonal rational functions on the unit circle lead to a class of Gaussian processes providing an example for the above construction.