Locally stationary stochastic processes and Weyl symbols of positive operators
- First Online:
- Cite this article as:
- Wahlberg, P. Positivity (2011) 15: 105. doi:10.1007/s11117-010-0044-1
- 56 Downloads
The paper treats locally stationary stochastic processes. A connection with the Weyl symbols of positive operators is observed and explored. We derive necessary conditions on the two functions that constitute the covariance function of a locally stationary stochastic process, some of which use this connection to time-frequency analysis and pseudodifferential operators. Finally, we discuss briefly the subclass of Cohen’s class of time–frequency representations having separable kernels, which is related to locally stationary stochastic processes.