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Locally stationary harmonizable complex improper stochastic processes
Univ Turin, Dipartimento Matemat, I-10123 Turin, TO, Italy.
Univ Newcastle, Callaghan, NSW 2308, Australia.
2011 (English)In: Journal of Time Series Analysis, ISSN 0143-9782, E-ISSN 1467-9892, Vol. 32, no 1, p. 33-46Article in journal (Refereed) Published
Abstract [en]

This article concerns continuous-time second-order complex-valued improper stochastic processes that are harmonizable and locally stationary in Silverman's sense. We study necessary and sufficient conditions for the property of local stationarity in the time and frequency domains. A sufficient condition by Silverman is generalized and extended to the improper case. We obtain a result on the absolute continuity of the complementary spectral measure with respect to the spectral measure, which is related to a spectral characterization of improper wide-sense stationary processes.

Place, publisher, year, edition, pages
Oxford: Wiley-Blackwell, 2011. Vol. 32, no 1, p. 33-46
National Category
Probability Theory and Statistics
Research subject
Mathematics, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-27578DOI: 10.1111/j.1467-9892.2010.00682.xISI: 000285250100002OAI: oai:DiVA.org:lnu-27578DiVA, id: diva2:637382
Available from: 2013-07-17 Created: 2013-07-17 Last updated: 2017-12-06Bibliographically approved

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Wahlberg, Patrik

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