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MacDonald's theorem and Milatz's theorem for multivariate stochastic processes

MacDonald's theorem, which expresses the spectral density of a randomly fluctuating variable α(t) in terms of the finite time average of that variable, αθ(t), is generalized for multivariate processes. For purely random processes, having a white spectrum, this also yields the corresponding generalization of Milatz's theorem.
Year of publication:
1977
Authors: Van Vliet, K.M.
Published in:
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 86.1977, 1, p. 130-136
Publisher: Elsevier
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10011057973
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