Simulation of Real-Valued Discrete-Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices

DOI10.1111/j.1467-9892.2006.00507.xzbMath1150.62059OpenAlexW1997228501MaRDI QIDQ3505316

M. Azimmohseni, Ahmad Reza Soltani

Publication date: 18 June 2008

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00507.x

Mathematics Subject Classification ID

Related Items (6)

Simulation of Real Discrete Time Gaussian Multivariate Stationary Processes with Given Spectral Densities ⋮ Testing the difference between spectral densities of two independent periodically correlated (cyclostationary) time series models ⋮ A new method to detect periodically correlated structure ⋮ A new method to compare the spectral densities of two independent periodically correlated time series ⋮ A Wavelet Characterization of Continuous-Time Periodically Correlated Processes with Application to Simulation ⋮ On the asymptotic distribution of the periodograms for the discrete time harmonizable simple processes

Cites Work

• Bibliography on cyclostationarity
• Time series: theory and methods.
• On AR(1) models with periodic and almost periodic coefficients.
• ON SIMULATION OF A GAUSSIAN STATIONARY PROCESS
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