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Spectral Representation Theorem: I • |Fourier transform|2 of {gt} decomposes energy across f ’s (this is the essence of Parseval’s theorem) • goal: decompose variance of {Xt} across frequencies (assume E{Xt} = 0,
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Document Date: 2015-04-08 09:59:36
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Spectral Representation Theorem: I • |Fourier transform|2 of {gt} decomposes energy across f ’s (this is the essence of Parseval’s theorem) • goal: decompose variance of {Xt} across frequencies (assume E{Xt} = 0,