Certain Periodically Correlated Multi-component Locally Stationary Processes
Abstract
By introducing Xls(t) as a random mixture of two stationary processes where the time dependent random weights have exponentially convex covariance, we show that this process has a multi-component locally stationary covariance function in Silverman's sense. We also define Xp(t) as a certain continuous time periodically correlated (PC) process where its covariance function is generated by the covariance function of a discrete time through defining some simple random measure on real line. We also impose a bi-periodic correlation for this PC process with Xls(t). The existence of such random measure is proved. Then by defining X(t)=Xls(t)+Xp(t) as a certain periodically correlated multi-component locally stationary process, the covariance structure and time varying spectral representation of such processes are characterized.