Spectral Representation of Univariate Time Series

  • Jan Beran


$$\displaystyle{X_{t}\text{ second order stationary, } E\left ( X_{t}\right ) =0\text{, } \gamma _{X}\left ( k\right ) =\int _{-\pi }^{\pi }e^{ik\lambda }dF_{X}\left ( \lambda \right )}$$
$$\displaystyle\Rightarrow \text{additive decomposition of }X_{t} \text{ into periodic components?}$$


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Authors and Affiliations

  • Jan Beran
    • 1
  1. 1.Department of Mathematics and StatisticsUniversity of KonstanzKonstanzGermany

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