Covariance and spectral density
Temporal series or chronological series

Article REF: TE5220 V1

Covariance and spectral density
Temporal series or chronological series

Author : Michel PRENAT

Publication date: August 10, 2012, Review date: January 6, 2020 | Lire en français

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4. Covariance and spectral density

This chapter describes the concepts of covariance and spectral density for stationary random processes, focusing on the aspects that are most useful for time series.

4.1 Definition and properties of covariance

As seen in 2.1 , if the process (X _t...

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Bibliography

(1) - ALLAN (D.W.) - Statistics of atomic frequency standards. - IEEE Proceedings, 54, p. 221-235 (1966).
(2) - AZENCOTT (R.), DACUNHA-CASTELLE (D.) - Séries d'observations irregulières. Modélisation et prévision. - Masson (1984)....

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