SUBORDINATION OF STATIONARY PROCESSES

E. Willekens and J. L. Teugels

Journal of Time Series Analysis, 1988, vol. 9, issue 3, 281-299

Abstract: Abstract. Let X={X(t), tεT∁ R} be a (L2 ‐) stationary process and suppose that N={N(t), t≥ 0} is an infinitely divisible process, independent of X. Then X̂={X̂(t) =X(N(t)), t≥ 0} is again a stationary process. In this paper, we relate the spectral properties of the original process X and the derived or subordinated process X̂.

Date: 1988
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1988.tb00471.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:9:y:1988:i:3:p:281-299

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().