Structure of Periodically Distributed Stochastic Sequences

Andrzej Makagon and Habib Salehi
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Andrzej Makagon: Michigan State University, Dept. of Statistics and Probability
Habib Salehi: Michigan State University, Dept. of Statistics and Probability

A chapter in Stochastic Processes, 1993, pp 245-251 from Springer

Abstract: Abstract It is shown that every periodically distributed (PD) stochastic sequence with a period T can be represented as a linear combination of the coordinates of an associated T-variate strictly stationary sequence. This result extends a theorem of Gladyshey for periodically correlated sequences to stochastic sequences with possibly infinite second moment. It is proved that if a PD sequence, is SαS then the associated strictly stationary sequence is also SαS, and that it shares the regularity properties of the underlying PD sequence. As a byproduct new prools of most of Gladyshev’s results in [2] are obtained.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4615-7909-0_27

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DOI: 10.1007/978-1-4615-7909-0_27

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