A wavelet characterization of continuous-time periodically correlated processes with application to simulation

DOI10.1111/JTSA.12185zbMATH Open1403.62163OpenAlexW2280288367MaRDI QIDQ2830679FDOQ2830679

Authors: Mitra Ghanbarzadeh, Mina Aminghafari 

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

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• scientific article; zbMATH DE number 2169004

zbMATH Keywords

simulationperiodically correlated processescontinuous-time processesinfinite-dimensional stationary processesperiodic wavelet basis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Stationary stochastic processes (60G10) General second-order stochastic processes (60G12)

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Cited In (4)

• Title not available (Why is that?)
• Simulation of Real-Valued Discrete-Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices
• A simulation procedure for periodically correlated processes
• A wavelet-based spectral procedure for steady-state simulation analysis

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