# Bridging Koopman Operator and Time-Series Auto-Correlation Based Hilbert–Schmidt Operator

Type Book section
Date 2023
Language English
Author(s) Zhen Yicun1, Chapron Bertrand 1, Mémin Etienne2
Affiliation(s) 1 : Institut Français de Recherche pour l’Exploitation de la Mer, Plouzané, France
2 : INRIA/IRMAR, Rennes, France
Book Chapron Bertrand, Crisan Dan, Holm Darryl, Mémin Etienne, Radomska Anna (Eds.) (2023). Stochastic Transport in Upper Ocean Dynamics. STUOD 2021 Workshop, London, UK, September 20-23. Springer International Publishing. ISBN 978-3-031-18987-6. Part of the Mathematics of Planet Earth book series (MPE,volume 10), pp.301-316
DOI 10.1007/978-3-031-18988-3_19
Keyword(s) Singular spectrum analysis, Koopman theory, Hilbert–Schmidt theory
Abstract

Given a stationary continuous-time process f(t), the Hilbert–Schmidt operator Aτ can be defined for every finite τ. Let λτ,i be the eigenvalues of Aτ with descending order. In this article, a Hilbert space $$\mathcal {H}_f$$ ℋ f and the (time-shift) continuous one-parameter semigroup of isometries $$\mathcal {K}^s$$ K s are defined. Let $$\{v_i, i\in \mathbb {N}\}$$ { v i , i ∈ ℕ } be the eigenvectors of $$\mathcal {K}^s$$ K s for all s ≥ 0. Let $$f = \displaystyle \sum _{i=1}^{\infty }a_iv_i + f^{\perp }$$ f = ∑ i = 1 ∞ a i v i + f ⊥ be the orthogonal decomposition with descending |ai|. We prove that limτ→∞λτ,i = |ai|2. The continuous one-parameter semigroup $$\{\mathcal {K}^s: s\geq 0\}$$ { K s : s ≥ 0 } is equivalent, almost surely, to the classical Koopman one-parameter semigroup defined on L2(X, ν), if the dynamical system is ergodic and has invariant measure ν on the phase space X.

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## How to cite

Zhen Yicun, Chapron Bertrand, Mémin Etienne (2023). Bridging Koopman Operator and Time-Series Auto-Correlation Based Hilbert–Schmidt Operator. In Chapron Bertrand, Crisan Dan, Holm Darryl, Mémin Etienne, Radomska Anna (Eds.) (2023). Stochastic Transport in Upper Ocean Dynamics. STUOD 2021 Workshop, London, UK, September 20-23. Springer International Publishing. ISBN 978-3-031-18987-6. Part of the Mathematics of Planet Earth book series (MPE,volume 10), pp.301-316 (Springer International Publishing). https://archimer.ifremer.fr/doc/00821/93264/