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

DOI10.1111/JTSA.12185MaRDI QIDQ2830679zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• A simulation procedure for periodically correlated processes
• Approximate wavelet-based simulation of long memory processes
• Approximate spectral models of random processes with periodic properties
• Simulation of Real-Valued Discrete-Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices
• scientific article; zbMATH DE number 2169004

Cites work

• scientific article; zbMATH DE number 1278754 (Why is no real title available?)
• scientific article; zbMATH DE number 3336457 (Why is no real title available?)
• A mathematical introduction to wavelets
• A note on the discrete wavelet transform of second-order processes
• A spectral representation for weakly periodic sequences of bounded linear transformations
• Constructions of periodic wavelet frames using extension principles
• Continuous time periodically correlated processes: Spectrum and prediction
• Cyclostationarity: half a century of research
• Discrete time periodically correlated Markov processes
• Ergodic behavior and estimation for periodically correlated processes
• Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes
• Locally adaptive estimation of evolutionary wavelet spectra
• Mathematical Systems Theory I
• Multi-variate time-series simulation
• Nonparametric time series analysis for periodically correlated processes
• On the continuous wavelet transform of second-order random processes
• Periodically Correlated Random Sequences
• Periodically and Almost-Periodically Correlated Random Processes with a Continuous Time Parameter
• Representation of strongly harmonizable periodically correlated processes and their covariances
• Simulation of Real-Valued Discrete-Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices
• Some results on the wavelet packet decomposition of nonstationary processes
• Ten Lectures on Wavelets
• The distribution of the sequential decoding computation time
• Two-Scale Difference Equations II. Local Regularity, Infinite Products of Matrices and Fractals
• Uniform convergence of compactly supported wavelet expansions of Gaussian random processes

Cited in

(4)

• scientific article; zbMATH DE number 1944700 (Why is no real title available?)
• 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

This page was built for publication: A wavelet characterization of continuous-time periodically correlated processes with application to simulation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2830679)