Simulation of Real-Valued Discrete-Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices

In this article, we provide a spectral characterization for a real-valued discrete-time periodically correlated process, and then proceed on to establish a simulation procedure to simulate such a Gaussian process for a given spectral density. We also prove that the simulated process, at each time index, converges to the actual process in the mean square. Copyright 2007 The Authors Journal compilation 2007 Blackwell Publishing Ltd.