On the integral with respect to the tensor product of two random measures

A Fubini-type formula for the integral with respect to the tensor product of two random measures is established in an intrinsic way. This permits one to consider a convolution product. The results are applied to a stationary continuous random function (which may be multiplicatively written with two stationary components) and to principal component analysis in the frequency domain.

MoreLess

Year of publication:	2010
Authors:	Boudou, Alain ; Romain, Yves
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 2, p. 385-394
Publisher:	Elsevier
Keywords:	Convolution of measures Fubini-type formula Locally compact Abelian group Random measure Spectral density Spectral measure Stationary random function stochastic integral Tensor product

More details

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

Persistent link: https://www.econbiz.de/10008521091