Journal of Time Series Analysis

SUBORDINATION OF STATIONARY PROCESSES

Journal Article

Abstract. Let X={X(t), tεT∁ R} be a (L2 ‐) stationary process and suppose that N={N(t), t≥ 0} is an infinitely divisible process, independent of X. Then ={(t) =X(N(t)), t≥ 0} is again a stationary process. In this paper, we relate the spectral properties of the original process X and the derived or subordinated process X̂.

Related Topics

Related Publications

Related Content

Site Footer

Address:

This website is provided by John Wiley & Sons Limited, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ (Company No: 00641132, VAT No: 376766987)

Published features on StatisticsViews.com are checked for statistical accuracy by a panel from the European Network for Business and Industrial Statistics (ENBIS)   to whom Wiley and StatisticsViews.com express their gratitude. This panel are: Ron Kenett, David Steinberg, Shirley Coleman, Irena Ograjenšek, Fabrizio Ruggeri, Rainer Göb, Philippe Castagliola, Xavier Tort-Martorell, Bart De Ketelaere, Antonio Pievatolo, Martina Vandebroek, Lance Mitchell, Gilbert Saporta, Helmut Waldl and Stelios Psarakis.