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
Bochner's theorem for a locally compact abelian group G, with dual group , 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 such that
i.e. f is the Fourier transform of a unique probability measure μ on . Conversely, the Fourier transform of a probability measure on is necessarily a normalized continuous positive definite function f on G. This is in fact a one-to-one correspondence.
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
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
is a unitary representations of G on . By continuity of f, it is weakly continuous, therefore strongly continuous. By construction, we have
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 on C*(G) is the pull-back of a state on , which is necessarily integration against a probability measure μ. Chasing through the isomorphisms then gives
On the other hand, given a probability measure μ on , the function
is a normalized continuous positive definite function. Continuity of f follows from the dominated convergence theorem. For positive definiteness, take a nondegenerate representation of . This extends uniquely to a representation of its multiplier algebra and therefore a strongly continuous unitary representation Ug. As above we have f given by some vector state on Ug
The two constructions are mutual inverses.
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
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
In statistics, Bochner's theorem can be used to describe the serial correlation of certain type of time series. A sequence of random variables of mean 0 is a (wide-sense) stationary time series if the covariance
only depends on n-m. The function
is called the autocovariance function of the time series. By the mean zero assumption,
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
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 . The autocovariance function is
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.