Measuring deviations from stationarity

Various parameters for measuring the deviation from stationarity for processes belonging to two classes of nonstationarity processes are proposed. Several new results for the two types of processes are obtained. Points of contact are established with the class of oscillatory processes and with the Hamiltonian equation of motion in quantum mechanics. The relation to processes of normal type and to innovations stable processes is also discussed.

MoreLess

Year of publication:	1980
Authors:	Tjøstheim, Dag
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 10.1980, 2, p. 145-160
Publisher:	Elsevier
Keywords:	u.b.l.s. and s.u.b.l.s. processes amplitude and order of nonstationary Hamiltonian equation of motion innovations stable processes oscillatory processes characteristic time of evolution processes of normal type

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873103