Spectral characteristics of Harmonizable VARMA processes - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2023

Spectral characteristics of Harmonizable VARMA processes

Anna E. Dudek

Résumé

Harmonizable processes form a wide class of nonstationary processes, which admit a convenient Fourier analysis and have spectral distributions characterized by correlated components. They are proved to be useful in many fields of application, for example, recently they were successfully applied in the analysis of replicated ElectroEncephaloGram signals for studying the brain connectivity. In this paper, we introduce a parametric form for these harmonizable processes, namely Harmonizable Vector AutoRegressive and Moving Average models (HVARMA). In the same spirit as of standard VARMA models, they are derived as a unique solution of a difference equation based on a properly defined concept of harmonizable noise. We exhibit their spectral characteristics and provide a way to generate realizations from a given HVARMA model.
Fichier principal
Vignette du fichier
Main_Hal (1).pdf (553.74 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-04324913 , version 1 (06-12-2023)

Identifiants

  • HAL Id : hal-04324913 , version 1

Citer

Dominique Dehay, Anna E. Dudek, Jean-Marc Freyermuth. Spectral characteristics of Harmonizable VARMA processes. 2023. ⟨hal-04324913⟩
44 Consultations
30 Téléchargements

Partager

Gmail Facebook X LinkedIn More