Bochner's theorem

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In mathematics, Bochner's theorem (named for Salomon Bochner) characterizes the Fourier transform of a positive finite Borel measure on the real line. More generally in harmonic analysis, Bochner's theorem asserts that under Fourier transform a continuous positive definite function on a locally compact abelian group corresponds to a finite positive measure on the Pontryagin dual group.

The theorem for locally compact abelian groups[edit]

Bochner's theorem for a locally compact Abelian group G, with dual group \widehat{G}, says the following:

Theorem For any normalized continuous positive definite function f on G (normalization here means f is 1 at the unit of G), there exists a unique probability measure on \widehat{G} such that

 f(g)=\int_{\widehat{G}} \xi(g) d\mu(\xi),

i.e. f is the Fourier transform of a unique probability measure μ on \widehat{G}. Conversely, the Fourier transform of a probability measure on \widehat{G} is necessarily a normalized continuous positive definite function f on G. This is in fact a one-to-one correspondence.

The Gelfand-Fourier transform is an isomorphism between the group C*-algebra C*(G) and C0(G^). The theorem is essentially the dual statement for states of the two Abelian C*-algebras.

The proof of the theorem passes through vector states on strongly continuous unitary representations of G (the proof in fact shows every normalized continuous positive definite function must be of this form).

Given a normalized continuous positive definite function f on G, one can construct a strongly continuous unitary representation of G in a natural way: Let F0(G) be the family of complex valued functions on G with finite support, i.e. h(g) = 0 for all but finitely many g. The positive definite kernel K(g1, g2) = f(g1 - g2) induces a (possibly degenerate) inner product on F0(G). Quotiening out degeneracy and taking the completion gives a Hilbert space

( \mathcal{H}, \langle \;,\; \rangle_f )

whose typical element is an equivalence class [h]. For a fixed g in G, the "shift operator" Ug defined by (Ug)( h ) (g') = h(g' - g), for a representative of [h], is unitary. So the map

g \; \mapsto \; U_g

is a unitary representations of G on ( \mathcal{H}, \langle \;,\; \rangle_f ). By continuity of f, it is weakly continuous, therefore strongly continuous. By construction, we have

\langle U_{g} [e], [e] \rangle_f = f(g)

where [e] is the class of the function that is 1 on the identity of G and zero elsewhere. But by Gelfand-Fourier isomorphism, the vector state  \langle \cdot [e], [e] \rangle_f on C*(G) is the pull-back of a state on C_0(\widehat{G}), which is necessarily integration against a probability measure μ. Chasing through the isomorphisms then gives

\langle U_{g} [e], [e] \rangle_f = \int_{\widehat{G}} \xi(g) d\mu(\xi).

On the other hand, given a probability measure μ on \widehat{G}, the function

f(g) = \int_{\widehat{G}} \xi(g) d\mu(\xi).

is a normalized continuous positive definite function. Continuity of f follows from the dominated convergence theorem. For positive definiteness, take a nondegenerate representation of C_0(\widehat{G}). This extends uniquely to a representation of its multiplier algebra C_b(\widehat{G}) and therefore a strongly continuous unitary representation Ug. As above we have f given by some vector state on Ug

f(g) = \langle U_g v, v \rangle,

therefore positive-definite.

The two constructions are mutual inverses.

Special cases[edit]

Bochner's theorem in the special case of the discrete group Z is often referred to as Herglotz's theorem, (see Herglotz representation theorem) and says that a function f on Z with f(0) = 1 is positive definite if and only if there exists a probability measure μ on the circle T such that

f(k) = \int_{\mathbb{T}} e^{-2 \pi i k x}d \mu(x).

Similarly, a continuous function f on R with f(0) = 1 is positive definite if and only if there exists a probability measure μ on R such that

f(t) = \int_{\mathbb{R}} e^{-2 \pi i \xi t} d \mu(\xi).

Applications[edit]

In statistics, Bochner's theorem can be used to describe the serial correlation of certain type of time series. A sequence of random variables \{ f_n \} of mean 0 is a (wide-sense) stationary time series if the covariance

\mbox{Cov}(f_n, f_m)

only depends on n-m. The function

g(n-m) = \mbox{Cov}(f_n, f_m)

is called the autocovariance function of the time series. By the mean zero assumption,

g(n-m) = \langle f_n, f_m \rangle

where ⟨⋅ , ⋅⟩ denotes the inner product on the Hilbert space of random variables with finite second moments. It is then immediate that g is a positive definite function on the integers ℤ. By Bochner's theorem, there exists a unique positive measure μ on [0, 1] such that

g(k) = \int e^{-2 \pi i k x} d \mu(x).

This measure μ is called the spectral measure of the time series. It yields information about the "seasonal trends" of the series.

For example, let z be an m-th root of unity (with the current identification, this is 1/m ∈ [0,1]) and f be a random variable of mean 0 and variance 1. Consider the time series \{ z^n f \}. The autocovariance function is

g(k) = z^k.

Evidently the corresponding spectral measure is the Dirac point mass centered at z. This is related to the fact that the time series repeats itself every m periods.

When g has sufficiently fast decay, the measure μ is absolutely continuous with respect to the Lebesgue measure and its Radon-Nikodym derivative f is called the spectral density of the time series. When g lies in l1(ℤ), f is the Fourier transform of g.

See also[edit]

References[edit]

  • Loomis, L. H. (1953), An introduction to abstract harmonic analysis, Van Nostrand 
  • M. Reed and B. Simon, Methods of Modern Mathematical Physics, vol. II, Academic Press, 1975.
  • Rudin, W. (1990), Fourier analysis on groups, Wiley-Interscience, ISBN 0-471-52364-X