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Continuous time periodically correlated processes: Spectrum and prediction

Author

Listed:
  • Makagon, A.
  • Miamee, A. G.
  • Salehi, H.

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.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:spapps:v:49:y:1994:i:2:p:277-295
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    Cited by:

    1. 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.
    2. Makagon, Andrzej, 2001. "Characterization of the Spectra of Periodically Correlated Processes," Journal of Multivariate Analysis, Elsevier, vol. 78(1), pages 1-10, July.

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