Integrated Processes and the Discrete Cosine Transform
نویسندگان
چکیده
A time-series consisting of white noise plus Brownian motion sampled at equal intervals of time is exactly orthogonalised by a discrete cosine transform (DCTII). 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.
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تاریخ انتشار 2001