Continuous time periodically correlated processes: Spectrum and prediction

A. Makagon, A. G. Miamee and H. Salehi

Stochastic Processes and their Applications, 1994, vol. 49, issue 2, 277-295

Abstract: In this paper a characterization of the spectrum and the random spectrum of a bounded continuous parameter periodically correlated process is given. It is shown that with any bounded periodically correlated process one can associate an appropriate infinite dimensional stationary process which shares its regularity properties. This stationary process is used to obtain Wold decomposition and a regularity condition for a periodically correlated process.

Keywords: correlation; function; spectrum; harmonizable; process; periodically; correlated; process (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (2)

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