Walsh spectral analysis of multiple dyadic stationary processes and its applications

Takeaki Nagai, Masanobu Taniguchi

研究成果: Article

3 引用 (Scopus)

抄録

In this paper, we investigate some properties of multiple dyadic stationary processes from the viewpoint of their Walsh spectral analysis. It is shown that under certain conditions a dyadic autoregressive and moving average process of finite order is expressed as a dyadic autoregressive process of finite order and also as a dyadic moving average process of finite order. We can see that the principal component process of such a dyadic stationary process has a simple finite structure in the sense that a dyadic filter which generates the principal component process has only one-side finite lags.

元の言語English
ページ(範囲)19-30
ページ数12
ジャーナルStochastic Processes and their Applications
24
発行部数1
DOI
出版物ステータスPublished - 1987
外部発表Yes

Fingerprint

Stationary Process
Spectral Analysis
Spectrum analysis
Moving Average Process
Principal Components
Autoregressive Process
Stationary process
Spectral analysis
Filter
Moving average
Principal components

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Mathematics(all)
  • Modelling and Simulation
  • Statistics and Probability

これを引用

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AB - In this paper, we investigate some properties of multiple dyadic stationary processes from the viewpoint of their Walsh spectral analysis. It is shown that under certain conditions a dyadic autoregressive and moving average process of finite order is expressed as a dyadic autoregressive process of finite order and also as a dyadic moving average process of finite order. We can see that the principal component process of such a dyadic stationary process has a simple finite structure in the sense that a dyadic filter which generates the principal component process has only one-side finite lags.

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KW - dyadic stationary process

KW - finite parametric spectral model

KW - principal component analysis

KW - Walsh spectral analysis

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