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Simulation of real-valued discrete-time periodically correlated Gaussian processes with prescribed spectral density matrices. (English) Zbl 1150.62059

This paper deals with the problem of simulating a real-valued discrete-time periodically correlated Gaussian process from a given spectral density matrix. The authors provide a spectral characterization of real periodically correlated processes, and then proceed to establish a simulation procedure. The simulation technique for stationary processes can be adopted to periodically correlated Gaussian processes. This is made by using the spectral representation of periodically correlated processes. The convergence of the simulated periodically correlated Gaussian processes to the actual process is established.

MSC:

62M15 Inference from stochastic processes and spectral analysis
65C60 Computational problems in statistics (MSC2010)
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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References:

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