Integrals related to stationary processes and cylindrical martingales
J. Pellaumail, A. Weron (1979)
Annales de l'I.H.P. Probabilités et statistiques
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J. Pellaumail, A. Weron (1979)
Annales de l'I.H.P. Probabilités et statistiques
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A one-to-one correspondence between locally square integrable periodically correlated (PC) processes and a certain class of infinite-dimensional stationary processes is obtained. The correspondence complements and clarifies Gladyshev's known result [3] describing the correlation function of a continuous periodically correlated process. In contrast to Gladyshev's paper, the procedure for explicit reconstruction of one process from the other is provided. A representation of a PC process...
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