Discrete spectrum of nonstationary stochastic processes on groups

Citation
Lg. Hanin et Bm. Schreiber, Discrete spectrum of nonstationary stochastic processes on groups, J THEOR PR, 11(4), 1998, pp. 1111-1133
Citations number
27
Categorie Soggetti
Mathematics
Journal title
JOURNAL OF THEORETICAL PROBABILITY
ISSN journal
08949840 → ACNP
Volume
11
Issue
4
Year of publication
1998
Pages
1111 - 1133
Database
ISI
SICI code
0894-9840(199810)11:4<1111:DSONSP>2.0.ZU;2-R
Abstract
Vector-valued, asymptotically stationary stochastic processes on sigma-comp act locally compact abelian groups are studied. For such processes, we intr oduce a stationary spectral measure and show that it is discrete if and onl y if the asymptotically stationary covariance function is almost periodic. Using an "almost periodic Fourier transform" we recover the discrete part o f the spectral measure and construct a natural, consistent estimator for th e latter from samples of the process.