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Ergodic behavior and estimation for periodically correlated processes

Author

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  • Leskow, Jacek
  • Weron, Aleksander

Abstract

A complex second-order stochastic process {X(t); t [set membership, variant] } is periodically correlated (PC) when its mean function m(t) and covariance R(s, t) are periodic with the period T. In the following note the relationship between the hierarchy of chaos and estimation for the stochastic process is investigated. The results are based on the Correspondence Principle for the PC processes.

Suggested Citation

  • Leskow, Jacek & Weron, Aleksander, 1992. "Ergodic behavior and estimation for periodically correlated processes," Statistics & Probability Letters, Elsevier, vol. 15(4), pages 299-304, November.
    • Handle: RePEc:eee:stapro:v:15:y:1992:i:4:p:299-304
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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.

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