Representation of strongly harmonizable periodically correlated processes and their covariances

H. L. Hurd

Journal of Multivariate Analysis, 1989, vol. 29, issue 1, 53-67

Abstract: This paper addresses the representation of continuous-time strongly harmonizable periodically correlated processes and their covariance functions. We show that the support of the 2-dimensional spectral measure is constrained to a set of equally spaced lines parallel to the diagonal. Our main result is that any harmonizable periodically correlated process may be represented in quadratic mean as a Fourier series whose coefficients are a family of unique jointly wide sense stationary processes; the corresponding family of cross spectral distribution functions may be simply identified from the two-dimensional spectral measure resulting from the assumption of strong harmonizability.

Keywords: periodically; correlated; processes; harmonizable; processes; random; Fourier; series (search for similar items in EconPapers)
Date: 1989
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(89)90076-6
Full text for ScienceDirect subscribers only

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:eee:jmvana:v:29:y:1989:i:1:p:53-67

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().