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Integrated processes and the discrete cosine transform
Part of
- Inference from stochastic processes
- Mathematical economics
Robert B. Davies
Journal:

Journal of Applied Probability / Volume 38 / Issue A / 2001

Published online by Cambridge University Press:

14 July 2016, pp. 105-121

Print publication:

2001
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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.

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Integrated processes and the discrete cosine transform