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Cycles-per-time spectral density
(
f
c
(
ω
)
=
2
π
f
a
(
2
πω
)
)
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(
@codex,
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)
...
Area of mathematics
Probability and statistics
Time series
Stationary process
Weakly stationary process
Spectral density of a stationary process
2026-10-06
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In cycles per
observation
,
frequency
lies in
[
−
1/2
,
1/2
]
and
γ
(
h
)
=
∫
e
2
πihω
f
c
(
ω
)
d
ω
. Compared with
angular-frequency
density
f
a
, one has
f
c
(
ω
)
=
2
π
f
a
(
2
πω
)
. In particular,
white noise
of
variance
σ
2
has
f
c
=
σ
2
.
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Spectral density of a stationary process
Weakly stationary process
Stationary process
Time series
Probability and statistics
Area of mathematics
Mathematics
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Past exam of the mathematics course of the University of Cambridge
/
2015
/
iii
/
Paper 37
/
3
/
d
/
Solution
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