On the integral with respect to the tensor product of two random measures

Alain Boudou and Yves Romain

Journal of Multivariate Analysis, 2010, vol. 101, issue 2, 385-394

Abstract: A Fubini-type formula for the integral with respect to the tensor product of two random measures is established in an intrinsic way. This permits one to consider a convolution product. The results are applied to a stationary continuous random function (which may be multiplicatively written with two stationary components) and to principal component analysis in the frequency domain.

Keywords: Convolution; of; measures; Fubini-type; formula; Locally; compact; Abelian; group; Random; measure; Spectral; density; Spectral; measure; Stationary; random; function; stochastic; integral; Tensor; product (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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