Wold decomposition

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 any stationary discrete-time can be decomposed into a pair of uncorrelated processes, one deterministic, and the other being a moving average process.

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 in the unilateral shift on a Hilbert space H_α, and U is a unitary operator (possible vacuous). The family {H_α} 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 H_i = 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 M_i is isomorphic to another, with V being an isomorphism between M_i and M_i+1: V "shifts" M_i to M_i+1. Suppose the dimension of each M_i is some cardinal number α. We see that K₁ can be written as a direct sum Hilbert spaces

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