Spectral representation of some non stationary alpha-stable processes

MaRDI QIDQ6208495zbMATH OpenFDO

Authors Nourddine Azzaoui

Publication date 21 February 2008

Abstract: In this paper, we give a new covariation spectral representation of some non stationary symmetric $alpha$-stable processes (S$alpha$S). This representation is based on a weaker covariation pseudo additivity condition which is more general than the condition of independence. This work can be seen as a generalization of the covariation spectral representation of processes expressed as stochastic integrals with respect to independent increments S$alpha$S processes (see Cambanis (1983)) or with respect to the general concept of independently scattered S$alpha$S measures (Samorodnitsky and Taqqu 1994). Relying on this result we investigate the non stationarity structure of some harmonisable S$alpha$S processes especially those having periodic or almost-periodic covariation functions.

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