A Wavelet Characterization of Continuous-Time Periodically Correlated Processes with Application to Simulation

DOI10.1111/jtsa.12185zbMath1403.62163MaRDI QIDQ2830679

Mina Aminghafari, Mitra Ghanbarzadeh

Publication date: 28 October 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12185

zbMATH Keywords

simulation; periodically correlated processes; continuous-time processes; infinite-dimensional stationary processes; periodic wavelet basis

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems

60G10: Stationary stochastic processes

60G12: General second-order stochastic processes

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