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Keywords:
harmonizable process; spectral decomposition; locally stationary process; covariance function
harmonizable process; spectral decomposition; locally stationary process; covariance function
Summary:
The paper deals with linear transformations of harmonizable locally stationary random processes. Necessary and sufficient conditions under which a linear transformation defines again a locally stationary process are given.
References:
[1] R. A. Silverman: Locally stationary random processes. IRE Transactions of Information Theory IT-3 (1957), 3, 182-187. DOI 10.1109/TIT.1957.1057413 | MR 0090931
[2] M. Loève: Probability Theory. D. van Nostrand, Toronto - New York- London, 1955. MR 0203748
[3] J. Michálek: Spectral decomposition of locally stationary random processes. Kybernetika 22 (1986), 3, 244-255. MR 0852324
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