Almost periodic stationary processes

arXiv2208.08240MaRDI QIDQ6408094FDOQ6408094

Authors: David Berger, Farid Mohamed 

Publication date: 17 August 2022

Abstract: We derive a necessary and sufficient condition for stochastic processes to have almost periodic finite dimensional distributions; in particular, we obtain characterizations for infinitely divisible processes to be almost periodic in terms of their characteristic triplets. Furthermore, we derive conditions when the process $(X_t{)}_{tinR}$ defined by the stochastic integral $X_t:=in{t}_{R^d}f(t,s)dL(s)$ is almost periodic stationary and also when it is almost periodic in probability, where $f(t,cdot)in{L}^1(R^d,R)cap{L}^2(R^d,R)$ is deterministic and $L$ is a L'evy basis. Moreover, we discuss almost periodic Ornstein-Uhlenbeck-type processes, and obtain a central limit theorem for $m$-dependent processes with almost periodic finite dimensional distributions.

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