Reducing non-stationary stochastic processes to stationarity by a time deformation

被引：27

作者：

Perrin, O ^{[1
]}

Senoussi, R ^{[1
]}

机构：

[1] INRA, F-84914 Avignon 9, France

来源：

STATISTICS & PROBABILITY LETTERS | 1999年 / 43卷 / 04期

关键词：

correlation function; stationary reducibility; weak stationarity;

D O I：

10.1016/S0167-7152(98)00278-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A necessary and sufficient condition is given to reduce a non-stationary random process {Z(t): t is an element of T subset of or equal to R} to stationarity via a bijective differentiable time deformation Phi so that its correlation function r(t,t') depends only on the difference Phi(t') - Phi(t) through a stationary correlation function R: r(t,t') = R(Phi(t') - Phi(t)). (C) 1999 Elsevier Science B.V. All rights reserved.

引用

页码：393 / 397

页数：5

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