Characterization of the Spectra of Periodically Correlated Processes

Andrzej Makagon

Journal of Multivariate Analysis, 2001, vol. 78, issue 1, 1-10

Abstract: A complete characterization of the spectrum of a locally square integrable periodically correlated (PC) processes is obtained. The result makes use of the author's recent theorem establishing a one to one correspondence between PC processes and a certain class on infinite dimensional stationary processes. In terms of distributions it is proved that the Fourier transform of a positive definite distribution on the plane which is the sum of complex uniformly bounded measures supported on equidistant lines parallel to diagonal is a locally square integrable function.

Keywords: periodically; correlated; process; correlation; function; spectrum; positive; definite; distribution (search for similar items in EconPapers)
Date: 2001
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