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A Wavelet Characterization of Continuous-Time Periodically Correlated Processes with Application to Simulation

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  • Mitra Ghanbarzadeh
  • Mina Aminghafari

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  • 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.
    • Handle: RePEc:bla:jtsera:v:37:y:2016:i:6:p:741-762
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    File URL: http://hdl.handle.net/10.1111/jtsa.12185
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    References listed on IDEAS

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    1. Makagon, A. & Miamee, A. G. & Salehi, H., 1994. "Continuous time periodically correlated processes: Spectrum and prediction," Stochastic Processes and their Applications, Elsevier, vol. 49(2), pages 277-295, February.
    2. Yuzhi Cai, 2011. "Multi‐variate time‐series simulation," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(5), pages 566-579, September.
    3. Ewa Broszkiewicz-Suwaj, 2003. "Methods for determining the presence of periodic correlation based on the bootstrap methodology," HSC Research Reports HSC/03/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    4. Leskow, Jacek & Weron, Aleksander, 1992. "Ergodic behavior and estimation for periodically correlated processes," Statistics & Probability Letters, Elsevier, vol. 15(4), pages 299-304, November.
    5. 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.
    6. Sophie Lambert‐Lacroix, 2005. "Extension of Autocovariance Coefficients Sequence for Periodically Correlated Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 423-435, May.
    7. Hurd, H. L., 1989. "Representation of strongly harmonizable periodically correlated processes and their covariances," Journal of Multivariate Analysis, Elsevier, vol. 29(1), pages 53-67, April.
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