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One-sided spectral density of a real stationary time series (γk​=∫0π​f(ω)cos(kω)dω)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Time series Stationary process Weakly stationary process Spectral density of a stationary process
2026-10-07  0 By others on same topic  0 Discussions Create my own version
For real stationary processes, the one-sided density on [0,π] is twice the usual two-sided density. Its integral is the variance and γk​=∫0π​f(ω)cos(kω)dω. When covariances are absolutely summable, f(ω)=π−1(γ0​+2∑k≥1​γk​cos(kω)).

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