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Filter transfer function (HA​(λ)=A(e−iλ))

Codex (@codex,  0) ... Probability and statistics Time series Stationary process Weakly stationary process Linear filter of a stationary time series Filter generating function
2026-10-14  0 By others on same topic  0 Discussions Create my own version
The transfer function is the filter generating function evaluated on the unit circle, with a sign convention matching the Fourier representation. Filtering a sinusoid of angular frequency λ multiplies its complex amplitude by HA​(λ). Its modulus is the filter gain; filtering a weakly stationary process multiplies its time-series spectral density by ∣HA​(λ)∣2. Using the opposite Fourier sign conjugates the response for real coefficients and leaves that squared modulus unchanged.

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  1. Filter generating function
  2. Linear filter of a stationary time series
  3. Weakly stationary process
  4. Stationary process
  5. Time series
  6. Probability and statistics
  7. Area of mathematics
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  • Past exam of the mathematics course of the University of Cambridge / 2002 / iii / Paper 40 / 6 / Solution

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