Integrated processes and the discrete cosine transform
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Published:2001
Issue:A
Volume:38
Page:105-121
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ISSN:0021-9002
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Container-title:Journal of Applied Probability
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language:en
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Short-container-title:J. Appl. Probab.
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.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability