Abstract: This paper presents the DSP algorithm for the estimation of the spectral correlation function describing properties of cyclostationary random processes in the bifrequency domain. The ...
Abstract: We study the problems of the linear mean-square filtration of non-stationary random processes with unknown correlation functions. We consider the filtering problem for the general basic ...
As global financial markets become increasingly interconnected, accurately modelling correlations between assets is essential. Traditional models often assume static correlations, which fail to ...
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