Reducing non-stationary stochastic processes to stationarity by a time deformation

A necessary and sufficient condition is given to reduce a non-stationary random process to stationarity via a bijective differentiable time deformation [Phi] so that its correlation function r(t,t') depends only on the difference [Phi](t')-[Phi](t) through a stationary correlation function R: r(t,t')=R([Phi](t')-[Phi](t)).

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Year of publication:	1999
Authors:	Perrin, Olivier ; Senoussi, Rachid
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 43.1999, 4, p. 393-397
Publisher:	Elsevier
Keywords:	Correlation function Stationary reducibility Weak stationarity

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

Persistent link: https://www.econbiz.de/10005223289