This paper studies the implication of unit root supply shocks for the Taylor rule. I find that, when supply shocks have a unit root, if a central bank wishes to guarantee the stationarity of inflation, then their interest rate reaction function should not respond to the output gap. Once the stationarity of inflation is guaranteed by the output-gap-response parameter, the ‘‘Taylor principle’’ ca...

Processes with stationary n-increments are known to be characterized by the stationarity of their continuous wavelet coefficients. We extend this result to the case of processes with stationary fractional increments and locally stationary processes. Then we give two applications of these properties. First, we derive the explicit covariance structure of processes with stationary n-increments. Se...

A new method for assessing the stationarity of a signal is addressed. The proposed technique is based on the application of time-varying autoregressive models, in which coe cient variations are decomposed upon a set of deterministic basis functions. Stationarity is evaluated by selecting the optimal number of basis functions with a generalized version of Minimum Description Length criterion. Re...

There has been a lot of interest to incorporate non-stationarity into geostatistical modeling. While first order non-stationarity can be easily considered using data transformations or considering a locally varying mean, the association of second order stationarity is less straightforward and few practical techniques exist. Current methodologies such as MPS with local pattern orientation, local...

We consider a zero mean discrete time series, and define its discrete Fourier transform at the canonical frequencies. It can be shown that the discrete Fourier transform is asymptotically uncorrelated at the canonical frequencies if and if only the time series is second order stationary. Exploiting this important property, we construct a Portmanteau type test statistic for testing stationarity ...

In this paper, the issue of single channel speech enhancement of non-stationary voiced speech is addressed. The non-stationarity of speech is well known, but state of the art speech enhancement methods assume stationarity within frames of 20–30 ms. We derive optimal distortionless filters that take the non-stationarity nature of voiced speech into account via linear constraints. This is facilit...

Stationarity of a data set guarantees spatially invariant statistical properties, such as mean, variance, dip or spectrum. Many image processing schemes assume stationary data and consequently do not apply to nonstationary data. However, these processes can be generalized to apply to local-stationary data sets, a type of nonstationary data. We split the local-stationary data into its stationary...

In this paper, we propose a new algorithm of enhancing covariance matrix estimate to be used for estimating the directions-of-arrival (DOAs) of multiple incoherent signals incident on a uniform circular array. The underlying covariance matrix possesses a special theoretical property such as having spatial stationarity. The proposed enhancement approach based on the use of this property is found...

A class of semiparametric fractional autoregressive GARCH models (SEMIFARGARCH), which includes deterministic trends, difference stationarity and stationarity with shortand long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This paper discusses the model fitting, including an efficient algorithm and parameter estimation of GARCH error ...

The paper investigates stationarity and regularity concepts for set systems in a normed space. Several primal and dual constants characterizing these properties are introduced and the relations between the constants are established. The equivalence between the regularity property and the strong metric inequality is established. The extended extremal principle is formulated. keywords: nonsmooth ...