Abstract
The notion of a locally stationary process was introduced and first studied by Silvermann1. His results were generalized by Michálek2 where a spectral decomposition of a locally stationary harmonizable process is investigated. The notions of a harmonizable covariance function and of a harmonizable process were introduced by Loève; a short note on a spectral theory of harmonizable processes is given e. g. in Loève3.
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References
R. A. Silvermann, Locally Stationary Processes. IRE Transactions of Information Theory, Vol IT-3, 183:187 (1957).
J. Michálek, Spectral Decomposition of Locally Stationary Random Processes, Kybernetika, No 3, 244:255 (1986).
M. Loève, “Probability Theory”, D. van Nostrand Company, Toronto -New York -London (1960).
Y. A. Rozanov, “Gaussian Infinite-dimensional Probability Distributions”, Nauka, Moscow (1968) (in Russian).
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© 1987 Plenum Press, New York
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Michálek, J. (1987). On Absolute Continuity of Measures Due to Gaussian Locally Stationary Processes. In: Viertl, R. (eds) Probability and Bayesian Statistics. Springer, Boston, MA. https://doi.org/10.1007/978-1-4613-1885-9_37
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DOI: https://doi.org/10.1007/978-1-4613-1885-9_37
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4612-9050-6
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