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Positive-frequency spectral normalization (g(ω)=2f(ω))

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 a real weakly stationary process, restricting its even angular-frequency density f to [0,π] gives γ(k)=2∫0π​f(ω)cos(kω)dω. Folding both frequency halves into one density gives g=2f and removes that factor two. Consequently white noise of variance v has restricted density v/(2π) and folded density v/π.

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  1. Spectral density of a stationary process
  2. Weakly stationary process
  3. Stationary process
  4. Time series
  5. Probability and statistics
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  • Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 29 / 2 / Solution

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