❉❡✜♥✐❝✐/♥

❯♥ ♣2♦❝❡#♦ ❡#$♦❝3#$✐❝♦ ❡# ✉♥❛ ❢❛♠✐❧✐❛ ❞❡ ✈❛2✐❛❜❧❡# ❛❧❡❛$♦2✐❛#

X = {Xt : t ∈ T } ❞❡✜♥✐❞❛# #♦❜2❡ ✉♥ ♠✐#♠♦ ❡#♣❛❝✐♦ ❞❡ ♣2♦❜❛❜✐❧✐❞❛❞
(Ω, F, P) ✱ ✐♥❞❡①❛❞❛# ❡♥ ❛❧❣>♥ ❝♦♥❥✉♥$♦ T ② ❝♦♥ ✈❛❧♦2❡# ❡♥ ✉♥ ❝♦♥❥✉♥$♦ E ✳
!♦❝❡%♦% ❊%'♦❝(%'✐❝♦% ✲ ❉❡✜♥✐❝✐♦♥❡%
E ❡!♣❛❝✐♦ ❞❡ ❡!(❛❞♦! T ❝♦♥❥✉♥(♦ ❞❡ ,♥❞✐❝❡!✳
❯♥✐✈❡%&✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛
❝♦♥❥✉♥$♦ ♥✉♠❡2❛❜❧❡ ♣2♦❝❡#♦ ❞❡ $✐❡♠♣♦ ❞✐#❝2❡$♦

❆❣♦#$♦ ✷✵✶✽




✐♥$❡2✈❛❧♦ ❞❡ ❧♦# 2❡❛❧❡# ♣2♦❝❡#♦ ❞❡ $✐❡♠♣♦ ❝♦♥$✐♥✉♦

T =



#✉❜❝♦♥❥✉♥$♦ ❞❡ Rn (n ≥ ✷) ❝❛♠♣♦ ❛❧❡❛$♦2✐♦.



✭❯♥✐✈❡&'✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 2&♦❝❡'♦' ❊'4♦❝5'4✐❝♦' ✲ ❉❡✜♥✐❝✐♦♥❡' ❆❣♦'4♦ ✷✵✶✽ ✶ ✴ ✶✽ ✭❯♥✐✈❡&'✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 2&♦❝❡'♦' ❊'4♦❝5'4✐❝♦' ✲ ❉❡✜♥✐❝✐♦♥❡' ❆❣♦'4♦ ✷✵✶✽ ✷ ✴ ✶✽

❊❥❡♠♣❧♦%
◆♦$❛❝✐/♥✿ X = {Xt : t ∈ T } = {X (t) : t ∈ T } = (Xt )t∈T
✶ ◆>♠❡2♦ ❞❡ ❞❡#❝❡♥❞✐❡♥$❡# ❞❡ ❧❛ ♥✲D#✐♠❛ ❣❡♥❡2❛❝✐/♥ ❞❡ ✉♥❛ ❢❛♠✐❧✐❛✳
X = {Xn : n ∈ N} ❙❡❛ X = {Xt , t ∈ T } ✉♥ ♣2♦❝❡#♦ ❡#$♦❝3#$✐❝♦ ❝♦♥ ❝♦♥❥✉♥$♦ ❞❡ ❡#$❛❞♦# E ✳
✷ ❚✐❡♠♣♦ ❞❡ ❡#♣❡2❛ ❤❛#$❛ G✉❡ ❧❧❡❣❛ ❡❧ ♥✲D#✐♠♦ ❜✉# ❛ ✉♥ ♣❛2❛❞❡2♦✳
X = {Xn : n ∈ N} H❛2❛ ❝❛❞❛ t ∈ T ✜❥♦✱ Xt ❡# ✉♥❛ ✈✳❛✳
✸ H2❡❝✐♦ ❞❡ ✉♥❛ ❛❝❝✐/♥ ❡♥ ❧❛ ❜♦❧#❛ ❡♥ ❝✉❛❧G✉✐❡2 ♠♦♠❡♥$♦✳
X = {Xt : t ∈ [✵, ∞)} H❛2❛ ❝❛❞❛ ω ∈ Ω ✜❥♦✱ ❧❛ ❢✉♥❝✐/♥
✹ N(t) ❞❡♥♦$❛ ❡❧ ♥>♠❡2♦ ❞❡ 2❡❝❧❛♠❛❝✐♦♥❡# 2❡❛❧✐③❛❞❛# ❤❛#$❛ ❡❧ $✐❡♠♣♦ t
T −→ E
❞❡ ✉♥❛ ♣/❧✐③❛ ❞❡ ❛❝❝✐❞❡♥$❡#✳ t 7−→ Xt (ω)
✺ X (i) ❞❡♥♦$❛ ❡❧ ✈❛❧♦2 ❞❡ ❧❛ i ✲D#✐♠❛ 2❡❝❧❛♠❛❝✐/♥ ❞❡ ❧❛ ♣/❧✐③❛ ❞❡
❛❝❝✐❞❡♥$❡# ❛✉$♦♠♦✈✐❧J#$✐❝♦# ✸✳ #❡ ❞❡♥♦♠✐♥❛ ❧❛ $2❛②❡❝$♦2✐❛ ❞❡ ω✱ $2❛②❡❝$♦2✐❛ ♦ 2❡❛❧✐③❛❝✐/♥ ❞❡❧ ♣2♦❝❡#♦
❡#$♦❝3#$✐❝♦ X ✳
✻ S(t) ❞❡♥♦$❛ ❡❧ ♠♦♥$♦ $♦$❛❧ ♣❛❣❛❞♦ ♣♦2 2❡❝❧❛♠❛❝✐♦♥❡# 2❡❛❧✐③❛❞❛# ❤❛#$❛
❡❧ $✐❡♠♣♦ t ❞❡ ❧❛ ♣/❧✐③❛ ❞❡ ❛❝❝✐❞❡♥$❡# ❛✉$♦♠♦✈✐❧J#$✐❝♦# ✸✳

✭❯♥✐✈❡&'✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 2&♦❝❡'♦' ❊'4♦❝5'4✐❝♦' ✲ ❉❡✜♥✐❝✐♦♥❡' ❆❣♦'4♦ ✷✵✶✽ ✸ ✴ ✶✽ ✭❯♥✐✈❡&'✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 2&♦❝❡'♦' ❊'4♦❝5'4✐❝♦' ✲ ❉❡✜♥✐❝✐♦♥❡' ❆❣♦'4♦ ✷✵✶✽ ✹ ✴ ✶✽

❊❥❡♠♣❧♦#
▲❛♥③❛♠✐❡♥$♦ ❞❡ ✉♥❛ ♠♦♥❡❞❛✱ Ω = {c, s}✱ F = P(Ω)✱ P(c) = ✶/✷ = P(s)✳ ✸ ▲❛♥③❛♠✐❡♥$♦ ❞❡ ✉♥❛ ♠♦♥❡❞❛ ✽ ✈❡❝❡# ❝♦♥#❡❝✉$✐✈❛#✳ ❊♥ ❝❛❞❛
❧❛♥③❛♠✐❡♥$♦ #❡ ❣❛♥❛ ✉♥ ♣❡#♦ #✐ ❝❛❡ ❝❛2❛ ♦ #❡ ♣✐❡2❞❡ ✉♥ ♣❡#♦ #✐ ❝❛❡
✶
( #❡❧❧♦✳
n ω=c
Xn (ω) = .
−✶ ω = s. R = (Rj )
Rj := ❝❛♥$✐❞❛❞ ❞❡ ❞✐♥❡2♦ ❣❛♥❛❞♦ ❡♥ ❡❧ ❥✲D#✐♠♦ ❧❛♥③❛♠✐❡♥$♦✳
●2❛✜❝❛2 ❧❛ $2❛②❡❝$♦2✐❛ ❞❡ ω = c ✳
S = (Sj )
✷
( Sj := ❞✐♥❡2♦ $♦$❛❧ ❣❛♥❛❞♦ ❤❛#$❛ ❡♥ ❡❧ ❥✲D#✐♠♦ ❧❛♥③❛♠✐❡♥$♦✳
cos(t) ω=c
Xt (ω) = .
sin(t) ω = s. H❛2❛ ω = (c, c, s, s, s, c, s, c)✱ ❞❡$❡2♠✐♥❛2 ❧❛ $2❛②❡❝$♦2✐❛ R• (ω) ② S• (ω)✳
●2❛✜❝❛2 ❧❛ $2❛②❡❝$♦2✐❛ ❞❡ ω = s ✳

✭❯♥✐✈❡&'✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 2&♦❝❡'♦' ❊'4♦❝5'4✐❝♦' ✲ ❉❡✜♥✐❝✐♦♥❡' ❆❣♦'4♦ ✷✵✶✽ ✺ ✴ ✶✽ ✭❯♥✐✈❡&'✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 2&♦❝❡'♦' ❊'4♦❝5'4✐❝♦' ✲ ❉❡✜♥✐❝✐♦♥❡' ❆❣♦'4♦ ✷✵✶✽ ✻ ✴ ✶✽
❙❡❛ X = {Xt , t ∈ T } ✉♥ ♣&♦❝❡)♦ ❡)*♦❝+)*✐❝♦ &❡❛❧✱

X ❡) ❝♦♥*✐♥✉♦ )✐ ❧❛) *&❛②❡❝*♦&✐❛) ❞❡ X )♦♥ ❝♦♥*✐♥✉❛)✳

X ❡) ❝2❞❧2❣ )✐ ❧❛) *&❛②❡❝*♦&✐❛) ❞❡ X )♦♥ ❢✉♥❝✐♦♥❡) ❝♦♥*✐♥✉❛) ❛ ❞❡&❡❝❤❛ ②
❙❡❛♥ t✶ < t✷ < · · · < tn ∈ T ✭T ⊂ R ✮✱ )❡ ❞❡✜♥❡ ❧❛ ❞✐)*&✐❜✉❝✐:♥ ❝♦♥❥✉♥*❛
❝♦♥ ❧6♠✐*❡) ♣♦& ❧❛ ✐③9✉✐❡&❞❛✳ ❞❡ ❧❛) ✈❛&✐❛❜❧❡) ❛❧❡❛*♦&✐❛) Xt✶ , · · · Xtn ❝♦♠♦
X ❡) ❝2❣❧2❞ )✐ ❧❛) *&❛②❡❝*♦&✐❛) ❞❡ X )♦♥ ❢✉♥❝✐♦♥❡) ❝♦♥*✐♥✉❛) ❛ ❞❡&❡❝❤❛ ②
❝♦♥ ❧6♠✐*❡) ♣♦& ❧❛ ✐③9✉✐❡&❞❛✳ PXt✶ ,···Xtn = P(Xt✶ ≤ x✶ , · · · , Xtn ≤ xn ) −∞ < x✶ , · · · , xn < ∞, n = ✶, ✷, · · ·
X ❡) ❡)*♦❝+)*✐❝❛♠❡♥*❡ ❝♦♥*✐♥✉♦ ❡♥ ❡❧ ♣✉♥*♦ t✵ ∈ T )✐ ② ):❧♦ )✐ ♣❛&❛ *♦❞♦
ε>✵
lim P(|Xt − Xt✵ | > ε) = ✵ {PXt✶ ,···Xtn : t✶ < t✷ < · · · < tn ∈ T } ❉✐)*&✐❜✉❝✐♦♥❡) ✜♥✐*♦ ❞✐♠❡♥)✐♦♥❛❧❡)
t→t✵
❞❡❧ ♣&♦❝❡)♦✳
X ❡) ❡)*♦❝+)*✐❝❛♠❡♥*❡ ❝♦♥*✐♥✉♦ ❡♥ T )✐ ❧♦ ❡) ❡♥ *♦❞♦ t✵ ∈ T ✳
F❛&❛ s ≤ t ✱ ❧❛ ❞✐❢❡&❡♥❝✐❛ Xt − Xs )❡ ❧❧❛♠❛ ❡❧ ✐♥❝&❡♠❡♥*♦ ❞❡❧ ♣&♦❝❡)♦
❙❡❛ p ≥ ✶ ② X *❛❧ 9✉❡ E (|Xt |p ) < ∞ ♣❛&❛ *♦❞♦ t ∈ T ✳ ❊❧ ♣&♦❝❡)♦ X ❡) ❡)*♦❝+)*✐❝♦ X ✳
❝♦♥*✐♥✉♦ ❡♥ ♠❡❞✐❛ ❞❡ ♦&❞❡♥ p ❡♥ t✵ )✐ ② ):❧♦ )✐

lim E (|Xt − Xt✵ |p ) = ✵

t→t✵

✭❯♥✐✈❡'(✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 3'♦❝❡(♦( ❊(5♦❝6(5✐❝♦( ✲ ❉❡✜♥✐❝✐♦♥❡( ❆❣♦(5♦ ✷✵✶✽ ✼ ✴ ✶✽ ✭❯♥✐✈❡'(✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 3'♦❝❡(♦( ❊(5♦❝6(5✐❝♦( ✲ ❉❡✜♥✐❝✐♦♥❡( ❆❣♦(5♦ ✷✵✶✽ ✽ ✴ ✶✽

❉❡✜♥✐❝✐&♥
❙❡ ❞✐❝❡ %✉❡ ❡❧ ♣)♦❝❡+♦ ❡+,♦❝-+,✐❝♦ ,✐❡♥❡ ✐♥❝)❡♠❡♥,♦+ ✐♥❞❡♣❡♥❞✐❡♥,❡+ +✐ ♣❛)❛
,♦❞♦ ❧♦+ ,✐❡♠♣♦+ t✵ < t✶ < · · · < tn ∈ T ❧❛+ ✈❛)✐❛❜❧❡+ ❛❧❡❛,♦)✐❛+

Xt✶ − Xt✵ , Xt✷ − Xt✶ , · · · , Xtn − Xtn−✶

❉❡✜♥✐❝✐&♥
+♦♥ ✐♥❞❡♣❡♥❞✐❡♥,❡+✳ ❊❧ ♣)♦❝❡+♦ ❡+,♦❝-+,✐❝♦ ❡+ ❡+,)✐❝,❛♠❡♥,❡ ❡+,❛❝✐♦♥❛)✐♦ +✐

❉❡✜♥✐❝✐&♥ ❞
(Xt✶ , · · · , Xtn ) = (Xt✶ +h , · · · , Xtn +h )
❊❧ ♣)♦❝❡+♦ ❡+,♦❝-+,✐❝♦ ,✐❡♥❡ ✐♥❝)❡♠❡♥,♦+ ❡+,❛❝✐♦♥❛)✐♦+ +✐ ❧❛ ❞✐+,)✐❜✉❝✐5♥ ❞❡ ♣❛)❛ ,♦❞♦ t✶ < t✷ < · · · < tn ✱ ,♦❞♦ h ② ,♦❞♦ n✳
❧♦+ ✐♥❝)❡♠❡♥,♦+ Xt+h − Xt ❞❡♣❡♥❞❡ +♦❧♦ ❞❡ ❧❛ ❧♦♥❣✐,✉❞ h ❞❡❧ ✐♥,❡)✈❛❧♦✳

Xt − Xs ,✐❡♥❡ ❧❛ ♠✐+♠❛ ❞✐+,)✐❜✉❝✐5♥ %✉❡ Xt+h − Xs+h .

P(Xt − Xs ∈ B) = P(Xt+h − Xs+h ∈ B)

❞
Xt − Xs = Xt+h − Xs+h

✭❯♥✐✈❡'(✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 3'♦❝❡(♦( ❊(5♦❝6(5✐❝♦( ✲ ❉❡✜♥✐❝✐♦♥❡( ❆❣♦(5♦ ✷✵✶✽ ✾ ✴ ✶✽ ✭❯♥✐✈❡'(✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 3'♦❝❡(♦( ❊(5♦❝6(5✐❝♦( ✲ ❉❡✜♥✐❝✐♦♥❡( ❆❣♦(5♦ ✷✵✶✽ ✶✵ ✴ ✶✽

❋✉♥❝✐:♥ ❞❡ ♠❡❞✐❛✿ µ X (t) = m(t) := E (Xt )

❋✉♥❝✐:♥ ❞❡ ✈❛&✐❛♥③❛✿ σX✷ (t) = Var X (t) := Var (Xt )

❉❡✜♥✐❝✐&♥
❋✉♥❝✐:♥ ❞❡ ❝♦✈❛&✐❛♥③❛✿ γX (t, s) = CX (t, s) := Cov (Xt , Xs )✳ ❯♥ ♣)♦❝❡+♦ ❡+,♦❝-+,✐❝♦ ❞❡ +❡❣✉♥❞♦ ♦)❞❡ ❡+ ❡+,❛❝✐♦♥❛)✐♦ ✭❡♥ ❡❧ +❡♥,✐❞♦
❛♠♣❧✐♦✱ ❞;❜✐❧♠❡♥,❡ ❡+,❛❝✐♦♥❛)✐♦ ♦ ❞❡ ❝♦✈❛)✐❛♥③❛ ❡+,❛❝✐♦♥❛)✐❛✮ +✐
❯♥ ♣&♦❝❡)♦ ❡)*♦❝+)*✐❝♦ )❡ ❧❧❛♠❛ ❞❡ )❡❣✉♥❞♦ ♦&❞❡♥ ♦ &❡❣✉❧❛& )✐ ✶ µX (t) ❡+ ✐♥❞❡♣❡♥❞✐❡♥,❡ ❞❡ t ✱ ✭µX (t) = c ♣❛)❛ ,♦❞♦ t ∈ T ✮✳
✷ ✷ γX (t + h, t) ❡+ ✐♥❞❡♣❡♥❞✐❡♥,❡ ❞❡ t ♣❛)❛ ,♦❞♦ h✱ γX (s, t) = f (t − s)
E (Xt ) < ∞, ∀t ∈ T
γX (t + h, t) = γX (✵, h)
❯♥ ♣&♦❝❡)♦ ❡)*♦❝+)*✐❝♦ &❡❣✉❧❛& )❡ ❧❧❛♠❛ ♦&*♦❣♦♥❛❧ )✐

E (Xt Xs ) = ✵, t, s ∈ T , t 6= s.

✭❯♥✐✈❡'(✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 3'♦❝❡(♦( ❊(5♦❝6(5✐❝♦( ✲ ❉❡✜♥✐❝✐♦♥❡( ❆❣♦(5♦ ✷✵✶✽ ✶✶ ✴ ✶✽ ✭❯♥✐✈❡'(✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 3'♦❝❡(♦( ❊(5♦❝6(5✐❝♦( ✲ ❉❡✜♥✐❝✐♦♥❡( ❆❣♦(5♦ ✷✵✶✽ ✶✷ ✴ ✶✽
❊❥❡♠♣❧♦'
❙❡❛♥ X = {Xt , t ∈ T } ② Y = {Yt , t ∈ T } ❞♦! ♣-♦❝❡!♦! ❡!+♦❝<!+✐❝♦! ❡♥

(Ω, F, P)✳ ❉❡❝✐♠♦! =✉❡ X ② Y !♦♥✿

✶ X = {Xt , t ∈ T }✱ Xt !♦♥ ✈✳❛✳ ✐♥❞❡♣❡♥❞✐❡♥+❡! ❝♦♥ ❞✐!+-✐❜✉❝✐0♥ ✶ ✐❣✉❛❧❡! !✐ Xt (ω) = Yt (ω) ♣❛-❛ +♦❞♦ ω∈Ω ② +♦❞♦ t ∈ T✳
N (✵, σ ✷ )✳
❍❛❧❧❛- µX (t), γX (s, t)✳ ❉❡+❡-♠✐♥❛- !✐ X ❡! ✉♥ ♣-♦❝❡!♦ ❞❡ ♦-+♦❣♦♥❛❧✱ ✷ ❡!+♦❝<!+✐❝❛♠❡♥+❡ ❡=✉✐✈❛❧❡♥+❡! ✭❡=✉✐✈❛❧❡♥+❡!✱ ✉♥♦ ❡! ♠♦❞✐✜❝❛❝✐0♥ ❞❡❧
✉♥ ♣-♦❝❡!♦ ❞7❜✐❧♠❡♥+❡ ❡!+❛❝✐♦♥❛-✐♦✳
♦+-♦✱ X ❡! ✉♥❛ ✈❡-!✐0♥ ❞❡ Y✮ !✐

✷ Xt = A cos(t) + B sin(t)✱ ❞♦♥❞❡ A, B !♦♥ ✈❛-✐❛❜❧❡! ❛❧❡❛+♦-✐❛! P(Xt = Yt ) = ✶ ♣❛-❛ +♦❞♦ t ∈ T.

✐♥❞❡♣❡♥❞✐❡♥+❡!✱ ❝♦♥ ♠❡❞✐❛ ✵ ② ✈❛-✐❛♥③❛ ✶✳ ❉❡+❡-♠✐♥❛- !✐ X ❡! ✉♥

♣-♦❝❡!♦ ❞❡ ❝♦✈❛-✐❛♥③❛ ❡!+❛❝✐♦♥❛-✐❛✳

✸ ✐♥❞✐!+✐♥❣✉✐❜❧❡! !✐

P(Xt = Yt , t ∈ T ) = ✶.

✭❯♥✐✈❡()✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 4(♦❝❡)♦) ❊)6♦❝7)6✐❝♦) ✲ ❉❡✜♥✐❝✐♦♥❡) ❆❣♦)6♦ ✷✵✶✽ ✶✸ ✴ ✶✽ ✭❯♥✐✈❡()✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 4(♦❝❡)♦) ❊)6♦❝7)6✐❝♦) ✲ ❉❡✜♥✐❝✐♦♥❡) ❆❣♦)6♦ ✷✵✶✽ ✶✹ ✴ ✶✽

❊❥❡♠♣❧♦ ❈)✐+❡)✐♦ ❞❡ ❈♦♥+✐♥✉✐❞❛❞ ❞❡ ❑♦❧♠♦❣♦)♦✈

✶ ❙❡❛ τ ✉♥❛ ✈✳❛✳ ❝♦♥ ❞✐!+-✐❜✉❝✐0♥ ❡①♣♦♥❡♥❝✐❛❧ ❞❡ ♣❛-<♠❡+-♦ λ > ✵✳ ❙✐ ❡①✐!+❡ ✉♥❛ ❝♦♥!+❛♥+❡ α>✶ ② p>✵ +❛❧ =✉❡

Xt = ✵, t ∈ (✵, ∞), E (|Xt − Xs |p ) ≤ CT |t − s|α ,

( ♣❛-❛ +♦❞♦ s, t ∈ T ✱ ❡♥+♦♥❝❡! ❡①✐!+❡ ✉♥❛ ✈❡-!✐0♥ ❞❡❧ ♣-♦❝❡!♦ X ❝♦♥
✵ !✐ t 6= τ
Yt = +-❛②❡❝+♦-✐❛! ❝♦♥+✐♥✉❛!✳
✶ !✐ t=τ
X ② Y !♦♥ ❡=✉✐✈❛❧❡♥+❡! ♣❡-♦ ♥♦ !♦♥ ✐♥❞✐!+✐♥❣✉✐❜❧❡!✳

✭❯♥✐✈❡()✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 4(♦❝❡)♦) ❊)6♦❝7)6✐❝♦) ✲ ❉❡✜♥✐❝✐♦♥❡) ❆❣♦)6♦ ✷✵✶✽ ✶✺ ✴ ✶✽ ✭❯♥✐✈❡()✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 4(♦❝❡)♦) ❊)6♦❝7)6✐❝♦) ✲ ❉❡✜♥✐❝✐♦♥❡) ❆❣♦)6♦ ✷✵✶✽ ✶✻ ✴ ✶✽

3)♦❝❡'♦' ●❛✉''✐❛♥♦'

❯♥ ♣-♦❝❡!♦ ❡!+♦❝<!+✐❝♦ X = {Xt : t ∈ I } !❡ ❧❧❛♠❛ ●❛✉!!✐❛♥♦ !✐ +♦❞❛

❝♦♠❜✐♥❛❝✐0♥ ❧✐♥❡❛❧ ❞❡ !✉! ✈❛-✐❛❜❧❡! ❛❧❡❛+♦-✐❛! +✐❡♥❡ ❞✐!+-✐❜✉❝✐0♥ ♥♦-♠❛❧✳

c✶ Xt✶ + c✷ Xt✷ + cn Xtn ∼ N (µ, σ ✷ )

❊❥❡♠♣❧♦
❙❡❛♥ Z✶ , Z ✷ ✈✳❛✳ ✐✳✐✳❞ N (✵, σ ✷ )✳ ❙❡ ❞❡✜♥❡ ❡❧ ♣-♦❝❡!♦ X = {Xt : t ∈ I } +❛❧

=✉❡

Xt = Z✶ cos(λt) + Z✷ sin(λt)
♣❛-❛ ❛❧❣E♥ λ ∈ R✳ ❊♥+♦♥❝❡! ❡❧ ♣-♦❝❡!♦ X ❡! ●❛✉!!✐❛♥♦✳

✭❯♥✐✈❡()✐❞❛❞ ◆❛❝✐♦♥❛❧ ❞❡ ❈♦❧♦♠❜✐❛ ✮ 4(♦❝❡)♦) ❊)6♦❝7)6✐❝♦) ✲ ❉❡✜♥✐❝✐♦♥❡) ❆❣♦)6♦ ✷✵✶✽ ✶✼ ✴ ✶✽