Reproducing Kernel Hilbert Spaces, Polynomials, and the Classical Moment Problem*

We show that polynomials do not belong to the reproducing kernel Hilbert space of infinitely differentiable translation-invariant kernels whose spectral measures have moments corresponding to a determinate moment problem. Our proof is based on relating this question to the problem of best linear estimation in continuous time one-parameter regression models with a stationary error process defined by the kernel. In particular, we show that the existence of a sequence of estimators with variances converging to 0 implies that the regression function cannot be an element of the reproducing kernel Hilbert space. This question is then related to the determinacy of the Hamburger moment problem for the spectral measure corresponding to the kernel. In the literature it was observed that a nonvanishing constant function does not belong to the reproducing kernel Hilbert space associated with the Gaussian kernel. Our results provide a unifying view of this phenomenon and show that the mentioned result can be extended for arbitrary polynomials and a broad class of translation-invariant kernels.