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Simulation of Real‐Valued Discrete‐Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices

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  • A. R. Soltani
  • M. Azimmohseni

Abstract

. In this article, we provide a spectral characterization for a real‐valued discrete‐time periodically correlated process, and then proceed on to establish a simulation procedure to simulate such a Gaussian process for a given spectral density. We also prove that the simulated process, at each time index, converges to the actual process in the mean square.

Suggested Citation

  • A. R. Soltani & M. Azimmohseni, 2007. "Simulation of Real‐Valued Discrete‐Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(2), pages 225-240, March.
    • Handle: RePEc:bla:jtsera:v:28:y:2007:i:2:p:225-240
    DOI: 10.1111/j.1467-9892.2006.00507.x
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    Cited by:

    1. A. R. Soltani & A. R. Nematollahi & M. R. Mahmoudi, 2019. "On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes," Statistical Inference for Stochastic Processes, Springer, vol. 22(2), pages 307-322, July.
    2. Mahmoudi, Mohammad Reza & Heydari, Mohammad Hossein & Roohi, Reza, 2019. "A new method to compare the spectral densities of two independent periodically correlated time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 160(C), pages 103-110.
    3. M. Azimmohseni & A. R. Soltani & M. Khalafi, 2015. "Simulation of Real Discrete Time Gaussian Multivariate Stationary Processes with Given Spectral Densities," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 783-796, November.
    4. Mitra Ghanbarzadeh & Mina Aminghafari, 2016. "A Wavelet Characterization of Continuous-Time Periodically Correlated Processes with Application to Simulation," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(6), pages 741-762, November.

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