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Non-Stationary Stochastic Processes Estimation
book

Non-Stationary Stochastic Processes Estimation

by Maksym Luz, Mikhail Moklyachuk
May 2024
Intermediate to advanced content levelIntermediate to advanced
310 pages
7h 41m
English
De Gruyter
Content preview from 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 ...

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Publisher Resources

ISBN: 9783111326252