Trigonometric moment problem

In mathematics, the trigonometric moment problem is formulated as follows: given a finite sequence $\{c_{0},\dotsc ,c_{n}\}$, does there exist a distribution function $\mu$ on the interval $[0,2\pi ]$ such that:

$c_{k}={\frac {1}{2\pi }}\int _{0}^{2\pi }e^{-ik\theta }\,d\mu (\theta ).$

In other words, an affirmative answer to the problems means that $\{c_{0},\dotsc ,c_{n}\}$ are the first n + 1 Fourier coefficients of some measure $\mu$ on $[0,2\pi ]$.

Characterization

The trigonometric moment problem is solvable, that is, $\{c_{k}\}_{k=0}^{n}$ is a sequence of Fourier coefficients, if and only if the (n + 1) × (n + 1) Hermitian Toeplitz matrix

$T=\left({\begin{matrix}c_{0}&c_{1}&\cdots &c_{n}\\c_{-1}&c_{0}&\cdots &c_{n-1}\\\vdots &\vdots &\ddots &\vdots \\c_{-n}&c_{-n+1}&\cdots &c_{0}\\\end{matrix}}\right)$ with $c_{-k}={\overline {c_{k}}}$ for $k\geq 1$,

is positive semi-definite.

The "only if" part of the claims can be verified by a direct calculation. We sketch an argument for the converse. The positive semidefinite matrix $T$ defines a sesquilinear product on $\mathbb {C} ^{n+1}$, resulting in a Hilbert space

$({\mathcal {H}},\langle \;,\;\rangle )$

of dimensional at most n + 1. The Toeplitz structure of $T$ means that a "truncated" shift is a partial isometry on ${\mathcal {H}}$. More specifically, let $\{e_{0},\dotsc ,e_{n}\}$ be the standard basis of $\mathbb {C} ^{n+1}$. Let ${\mathcal {E}}$ and ${\mathcal {F}}$ be subspaces generated by the equivalence classes $\{[e_{0}],\dotsc ,[e_{n-1}]\}$ respectively $\{[e_{1}],\dotsc ,[e_{n}]\}$. Define an operator

$V:{\mathcal {E}}\rightarrow {\mathcal {F}}$

by

$V[e_{k}]=[e_{k+1}]\quad {\mbox{for}}\quad k=0\ldots n-1.$

Since

$\langle V[e_{j}],V[e_{k}]\rangle =\langle [e_{j+1}],[e_{k+1}]\rangle =T_{j+1,k+1}=T_{j,k}=\langle [e_{j}],[e_{k}]\rangle ,$

$V$ can be extended to a partial isometry acting on all of ${\mathcal {H}}$. Take a minimal unitary extension $U$ of $V$, on a possibly larger space (this always exists). According to the spectral theorem, there exists a Borel measure $m$ on the unit circle $\mathbb {T}$ such that for all integer k

$\langle (U^{*})^{k}[e_{n+1}],[e_{n+1}]\rangle =\int _{\mathbb {T} }z^{k}dm.$

For $k=0,\dotsc ,n$, the left hand side is

$\langle (U^{*})^{k}[e_{n+1}],[e_{n+1}]\rangle =\langle (V^{*})^{k}[e_{n+1}],[e_{n+1}]\rangle =\langle [e_{n+1-k}],[e_{n+1}]\rangle =T_{n+1,n+1-k}=c_{-k}={\overline {c_{k}}}.$

So

$c_{k}=\int _{\mathbb {T} }z^{-k}dm=\int _{\mathbb {T} }{\bar {z}}^{k}dm$

which is equivalent to

$c_{k}={\frac {1}{2\pi }}\int _{0}^{2\pi }e^{-ik\theta }d\mu (\theta )$

for some suitable measure $\mu$.

Parametrization of solutions

The above discussion shows that the trigonometric moment problem has infinitely many solutions if the Toeplitz matrix $T$ is invertible. In that case, the solutions to the problem are in bijective correspondence with minimal unitary extensions of the partial isometry $V$.

See also

• Moment problem
• Orthogonal polynomials on the unit circle
• Schur class
• Szegő limit theorems

References

• Akhiezer, Naum I. (1965). The classical moment problem and some related questions in analysis. New York: Hafner Publishing Co. (translated from the Russian by N. Kemmer)
• Akhiezer, N.I.; Kreĭn, M.G. (1962). Some Questions in the Theory of Moments. Translations of mathematical monographs. American Mathematical Society. ISBN 978-0-8218-1552-6.
• Geronimus, J. (1946). "On the Trigonometric Moment Problem". Annals of Mathematics. 47 (4): 742–761. doi:10.2307/1969232. ISSN 0003-486X. JSTOR 1969232.
• Schmüdgen, Konrad (2017). The Moment Problem. Graduate Texts in Mathematics. Vol. 277. Cham: Springer International Publishing. doi:10.1007/978-3-319-64546-9. ISBN 978-3-319-64545-2. ISSN 0072-5285.