Non-Stationary Stochastic Processes Estimation

6 Continuous time stochastic processes with periodically correlated increments

In this chapter, we deal with the continuous time stochastic processes with periodically correlated increments defined and studied in [122]. The spectral representations of stochastic processes with periodically correlated increments are presented. A brief review of properties of such stochastic processes is presented.

6.1 Periodically correlated processes and generated vector stationary sequences

In this section, we present a brief review of properties of periodically correlated processes and describe an approach to presenting these processes as stationary H-valued sequences [84], [147]. In the next section, this approach is applied to develop the spectral theory ...