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Integrated processes and the discrete cosine transform
Published online by Cambridge University Press: 14 July 2016
Abstract
A time-series consisting of white noise plus Brownian motion sampled at equal intervals of time is exactly orthogonalized by a discrete cosine transform (DCT-II). This paper explores the properties of a version of spectral analysis based on the discrete cosine transform and its use in distinguishing between a stationary time-series and an integrated (unit root) time-series.
Keywords
MSC classification
- Type
- Time series analysis
- Information
- Journal of Applied Probability , Volume 38 , Issue A: Probability, Statistics and Seismology , 2001 , pp. 105 - 121
- Copyright
- Copyright © Applied Probability Trust 2001
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