Past exam of the mathematics course of the University of Cambridge 2006 iii Paper 47 2 c Solution Created 2026-10-03 Updated 2026-10-14
The zero means of both amplitudes give . Their unit variances and zero covariance give, for arbitrary integer ,Thus the variance is one and the covariance depends only on lag, proving weak stationarity. Independence or normality of the amplitudes is unnecessary. Sincethe spectral measure of a random harmonic oscillation assigns mass to each of . The corresponding right-continuous time-series spectral distribution isThese spectral atoms represent a persistent oscillation. There is no ordinary absolutely continuous spectral density for this process.