On a time deformation reducing nonstationary stochastic processes to local stationarity

DOI10.1239/jap/1077134681zbMath1049.62098OpenAlexW2135537060MaRDI QIDQ4819451

Marc G. Genton, Olivier Perrin

Publication date: 24 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/1be063307a04cf0639f2b27ca7ab84828f7c4552

zbMATH Keywords

time seriesnonstationary stochastic processeslocal stationaritypositive-definite functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (12)

Inference for time-varying signals using locally stationary processes ⋮ Notes on spherical bifractional Brownian motion ⋮ An efficient estimator for locally stationary Gaussian long-memory processes ⋮ Reduction problems and deformation approaches to nonstationary covariance functions over spheres ⋮ A generalized ARFIMA model with smooth transition fractional integration parameter ⋮ Integral representations, extension theorems and walks through dimensions under radial exponential convexity ⋮ On the non-reducibility of non-stationary correlation functions to stationary ones under a class of mean-operator transformations ⋮ Locally stationary stochastic processes and Weyl symbols of positive operators ⋮ Self-Similarity and Lamperti Transformation for Random Fields ⋮ On the sample mean of locally stationary long-memory processes ⋮ Stationary and multi-self-similar random fields with stochastic volatility ⋮ Locally stationary harmonizable complex improper stochastic processes

Cites Work

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• Sojourns and extremes of Gaussian processes
• Fitting time series models to nonstationary processes
• Stationary covariances associated with exponentially convex functions
• Adaptive covariance estimation of locally stationary processes
• Reducing non-stationary stochastic processes to stationarity by a time deformation
• 10.1162/15324430260185646
• A matching theorem for locally stationary random processes

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