Abstract
We introduce a general class of multivariate periodically correlated processes and their corresponding time‐domain and spectral‐domain characterizations. A spectral coherence based on the Hilbert–Schmidt inner product of the Fourier transforms is introduced to measure the dependence of two periodically correlated (PC) processes. An estimator for the spectral coherence is introduced and studied. A hypothesis on the presence of significant dependence is formulated and the corresponding testing procedure established. Numerical illustrations on the performance of the spectral coherence and its estimator are given using simulated and real PC time series.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
