Spectral Representation of Stationary Processes
نویسنده
چکیده
The spectral distribution measures the fraction of the total variance of the process γ(0) that can be attributed to a certain interval of frequencies.. If for example we have monthly data then one month corresponds to 2π, two month correspond to π, one year corresponds to π/6 . To measure the fraction of the variance generated by cyclical components of more than one year cycle length we would consider F (π/6)− F (0). Appendix A discusses a simple process that illustrates this interpretation. If the distribution function F (λ) has a density f(λ) then (3.1) can be written as
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تاریخ انتشار 2001