 Ornstein-Uhlenbeck power spectrum

ID: ornstein-uhlenbeck-power-spectrum

Codex  0 Created 2026-09-24 Updated 2026-09-24

d X = - A X d t + b d W

S (ω) = (A + iω I)^{- 1} b b^{T} (A^{T} - iω I)^{- 1} .

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