Orthonormal Set: A set et,t∈T of elements of an inner-product space is said to be orthonormal if for every s,t∈T,
(es,et)=1 when s=t; otherwise 0.
Closed span: The closed span (spˉ(xt)) of any subset {xt,t∈T} of a Hilbert space H is defined to be the smallest closed subspace of H which contains each element xt,t∈T. (The set of all linear combinations. 这是因为Hilbert 空间是向量空间,及线性空间,对数乘封闭;另外在更加General的形况下考虑σ-algebra)
Remark for Closed Span in Hilbert space: Note that if M=spˉ(xt,t∈T), then for any x∈H, PMx=α1x1+⋯+αtxt
2. Fourier Coefficients
If {e1,…,ek} is an orthonormal subset of the Hilbert space H and M=spˉ{e1,…,ek}
Then:
PMx=∑i=1k(x,ei)ei for all x∈H
Proof: According to prediction equation, (x−PMx,y)=0, i.e. (x,y)=(PMx,y), where y is any element in M. It is clear that the prediction equation holds.
Based on the property of projection mapping, we can further get more property of orthonormal set.
Comment: 这一部分可以说是傅里叶分析为代表的信号分解的基石。如果我们只考虑离散时间的时间序列(大多是时候都是)信号分解的前提是有符合内积定义的内积,以及一套标准正交基。在连续傅里叶变换中,我们可以理解为这一些列都在某个函数的基下进行,本质上其实是不变的(Recall: Dirac function should be considered in a space whose density is generated by a Lebesgue integrable function)
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