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- W4244397147 abstract "Estimation of Stochastic Processes is intended for researchers in the field of econometrics, financial mathematics, statistics or signal processing. This chapter presents a short review of the main results of the spectral theory of stochastic processes with stationary nth increments which were described by A.M. Yaglom and M. Pinsker in the articles. Using representation of the structural function of the stationary nth increment and the Karhunen theorem, people can obtain the spectral representation of the stationary nth increment process. The chapter refers to the spectral function and the spectral density of the stochastic process with stationary nth increments, as the spectral function and the spectral density of the stationary increment process. Since the increment process is stationary, the integrals in the representations converge in mean-square sense under the proper condition on the functions to be justified." @default.
- W4244397147 created "2022-05-12" @default.
- W4244397147 date "2019-09-18" @default.
- W4244397147 modified "2023-10-16" @default.
- W4244397147 title "Stationary Increments of Continuous Time Stochastic Processes: Spectral Representation" @default.
- W4244397147 doi "https://doi.org/10.1002/9781119663539.ch9" @default.
- W4244397147 hasPublicationYear "2019" @default.
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