Induced stationary process and structure of locally square integrable periodically correlated processes

Volume 136 / 1999

Andrzej Makagon Studia Mathematica 136 (1999), 71-86 DOI: 10.4064/sm-136-1-71-86

Abstract

A one-to-one correspondence between locally square integrable periodically correlated (PC) processes and a certain class of infinite-dimensional stationary processes is obtained. The correspondence complements and clarifies Gladyshev's known result [3] describing the correlation function of a continuous periodically correlated process. In contrast to Gladyshev's paper, the procedure for explicit reconstruction of one process from the other is provided. A representation of a PC process as a unitary deformation of a periodic function is derived and is related to the correspondence mentioned above. Some consequences of this representation are discussed.

Authors

  • Andrzej Makagon

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