Representation of strongly harmonizable periodically correlated processes and their covariances (Q581923): Difference between revisions

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This paper discusses the representation of continuous-time strongly harmonizable periodically correlated processes and their covariance functions. It contains several nice results of which two are stated here. 1) It is shown that the 2-dimensional spectral measure of such processes are concentrated on a set of equally spaced lines parallel to the main diagonal. 2) It is proved that any continuous-time strongly harmonizable periodically correlated process with period T may be represented, in quadratic mean as \[ X_ t=\sum_{k}a_ k(t)\exp (i2\pi Kt/T), \] where \(a_ k(t)\), \(-\infty <t<\infty\), \(-\infty <k<\infty\), are stationary and stationary correlated processes with specific covariance and cross covariance functions.
Property / review text: This paper discusses the representation of continuous-time strongly harmonizable periodically correlated processes and their covariance functions. It contains several nice results of which two are stated here. 1) It is shown that the 2-dimensional spectral measure of such processes are concentrated on a set of equally spaced lines parallel to the main diagonal. 2) It is proved that any continuous-time strongly harmonizable periodically correlated process with period T may be represented, in quadratic mean as \[ X_ t=\sum_{k}a_ k(t)\exp (i2\pi Kt/T), \] where \(a_ k(t)\), \(-\infty <t<\infty\), \(-\infty <k<\infty\), are stationary and stationary correlated processes with specific covariance and cross covariance functions. / rank
 
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Property / reviewed by: Habib Salehi / rank
 
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Property / Mathematics Subject Classification ID: 60G10 / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 60G05 / rank
 
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Property / Mathematics Subject Classification ID
 
Property / Mathematics Subject Classification ID: 60G12 / rank
 
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Property / zbMATH DE Number
 
Property / zbMATH DE Number: 4129742 / rank
 
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Property / zbMATH Keywords
 
representation
Property / zbMATH Keywords: representation / rank
 
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Property / zbMATH Keywords
 
strongly harmonizable periodically correlated processes
Property / zbMATH Keywords: strongly harmonizable periodically correlated processes / rank
 
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Property / zbMATH Keywords
 
spectral measure
Property / zbMATH Keywords: spectral measure / rank
 
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Property / zbMATH Keywords
 
covariance and cross covariance functions
Property / zbMATH Keywords: covariance and cross covariance functions / rank
 
Normal rank

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Representation of strongly harmonizable periodically correlated processes and their covariances
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    Representation of strongly harmonizable periodically correlated processes and their covariances (English)
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    1989
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    This paper discusses the representation of continuous-time strongly harmonizable periodically correlated processes and their covariance functions. It contains several nice results of which two are stated here. 1) It is shown that the 2-dimensional spectral measure of such processes are concentrated on a set of equally spaced lines parallel to the main diagonal. 2) It is proved that any continuous-time strongly harmonizable periodically correlated process with period T may be represented, in quadratic mean as \[ X_ t=\sum_{k}a_ k(t)\exp (i2\pi Kt/T), \] where \(a_ k(t)\), \(-\infty <t<\infty\), \(-\infty <k<\infty\), are stationary and stationary correlated processes with specific covariance and cross covariance functions.
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    representation
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    strongly harmonizable periodically correlated processes
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    spectral measure
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    covariance and cross covariance functions
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