Stationary perturbations based on Bernoulli processes
نویسندگان
چکیده
منابع مشابه
On optimal stationary couplings between stationary processes
By a classical result of Gray et al. (1975) the %̄ distance between stationary processes is identified with an optimal stationary coupling problem of the corresponding stationary measures on the infinite product spaces. This is a modification of the optimal coupling problem from Monge–Kantorovich theory. In this paper we derive some general classes of examples of optimal stationary couplings whi...
متن کاملImprecise Bernoulli Processes
In classical Bernoulli processes, it is assumed that a single Bernoulli experiment can be described by a precise and precisely known probability distribution. However, both of these assumptions can be relaxed. A first approach, often used in sensitivity analysis, is to drop only the second assumption: one assumes the existence of a precise distribution, but has insufficient resources to determi...
متن کاملStationary Processes
Stationary processes are stochastic processes whose probabilistic structure is unaffected by shifts in time. According to the interpretation of the term “probabilistic structure”, one distinguishes weak sense stationary processes, where only the covariance structure is supposed to be invariant, and strict sense stationary processes, for which all finitedimensional distributions have to remain t...
متن کاملStochastic analysis of Bernoulli processes
These notes survey some aspects of discrete-time chaotic calculus and its applications, based on the chaos representation property for i.i.d. sequences of random variables. The topics covered include the Clark formula and predictable representation, anticipating calculus, covariance identities and functional inequalities (such as deviation and logarithmic Sobolev inequalities), and an applicati...
متن کاملStationary processes
Definition 1 (Time Series). A time series is a sequence of observations ordered with respect to a time index t, taking values in an index set S. If the set S contains a finite or countable number of elements we speak of discrete-time time series and the generic observation is indicated with the symbol yt, while if S is a continuum we have a continuous-time time series, whose generic observation...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Studia Mathematica
سال: 1990
ISSN: 0039-3223,1730-6337
DOI: 10.4064/sm-97-1-53-57