A possible definition of a stationary tangent. (Q1877502)

The author constructs a locally optimal stationary approximation for a non-stationary Gaussian process. For example, if the correlation function \(R\) of the non-stationary process is given by \(R(t,s)=\hat R[\varphi (t)-\varphi (s)]\) where \(\hat R\) is a stationary correlation function and \(\varphi \) a smooth real function, then the approximation at \(t_ 0\) is \(\tilde R_ {t_ 0}[\dot {\varphi }(t_ 0)(t-s)]\). Generally, the stationary process \(\{\hat X_ t\}\) is an optimal stationary approximation to the process \(\{X_ t\}\) at \(t_ 0\) if it sequentially minimizes \(E| X_ {t_ 0}^ {(k)} -\hat X_ {t_ 0}^ {(k)}| ^ 2\) for \(k=0,1,2,\dots \). The correlations of the Gaussian process are associated with equivalence classes of curves in \(R^ n\) described in terms of curvatures. Existence and uniqueness of a stationary process with given curvatures is related with the classical moment problem. The concept of \(\delta \)-curvatures is introduced for treating non-smooth correlations.