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On random processes that are almost strict sense stationary

  • Dag Tj⊘stheim (a1)
Abstract

An extension of the class of strict sense stationary processes is studied. The extended class represents the strict sense analogy of an extension of wide sense stationary processes considered in an earlier paper [9]. The relations between the various types of processes defined are investigated in the general and in the Gaussian case, and some examples are given. It is shown that associated with a process belonging to the extended class there is a strict sense stationary process. The associated strict sense stationary process is unique iff the original process is ergodic.

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[1] Doob, J. L. (1953) Stochastic Processes. Wiley, New York.
[2] Dowker, Y. N. (1955) On measurable transformations in finite measure spaces. Ann. Math. 62, 504516.
[3] Friedman, N. A. (1970) Introduction to Ergodic Theory. Van Nostrand, New York.
[4] Loève, M. (1963) Probability Theory. Van Nostrand, New York.
[5] Priestley, M. B. (1965) Evolutionary spectra and non-stationary processes. J.R. Statist. Soc. B 27, 204229.
[6] Rozanov, Yu. A. (1967) Stationary Random Processes. Holden Day, San Francisco.
[7] Silverman, R. E. (1957) Locally stationary processes. IRE Trans. Inf. Theory 3, 182187.
[8] de Sz.-Nagy, B, (1947) On uniformly bounded linear transformations in Hilbert space. Acta Sci. Math. Szeged 11, 152157.
[9] Tj⊘stheim, D. and Thomas, J. B. (1975) Some properties and examples of random processes that are almost wide sense stationary. IEEE Trans. Inf. Theory 21, 257262.
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Advances in Applied Probability
  • ISSN: 0001-8678
  • EISSN: 1475-6064
  • URL: /core/journals/advances-in-applied-probability
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