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On Absolute Continuity of Measures Due to Gaussian Locally Stationary Processes

In: Probability and Bayesian Statistics

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  • Jiří Michálek

    (Institute of Information Theory and Automation)

Abstract

The notion of a locally stationary process was introduced and first studied by Silvermann1. His results were generalized by Michálek2 where a spectral decomposition of a locally stationary harmonizable process is investigated. The notions of a harmonizable covariance function and of a harmonizable process were introduced by Loève; a short note on a spectral theory of harmonizable processes is given e. g. in Loève3.

Suggested Citation

  • Jiří Michálek, 1987. "On Absolute Continuity of Measures Due to Gaussian Locally Stationary Processes," Springer Books, in: R. Viertl (ed.), Probability and Bayesian Statistics, pages 365-368, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4613-1885-9_37
    DOI: 10.1007/978-1-4613-1885-9_37
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