The Role of the Time-Arrow in Mean-Square Estimation of Stochastic Processes

Abstract

The purpose of this paper is to explain a certain dichotomy between the information that the past and future values of a multivariate stochastic process carry about the present. More specifically, vector-valued, second-order stochastic processes may be deterministic in one time-direction and not the other. This phenomenon, which is absent in scalar-valued processes, is deeply rooted in the geometry of the shift-operator. The exposition and the examples we discuss are based on the work of Douglas, Shapiro and Shields on cyclic vectors of the backward shift and relate to classical ideas going back to Wiener and Kolmogorov. We focus on rank-one stochastic processes for which we present a characterization of all regular processes that are deterministic in the reverse time-direction. The paper builds on examples and the goal is to provide pertinent insights to a control engineering audience.