Spectral densities describing off-white noises
概率论
2015-06-26 v1
摘要
For the white noise, the spectral density is constant, and the past (restriction to (-\infty,0)) is independent from the future (restriction to (0,+\infty)). If the spectral density is not too far from being constant, then dependence between the past and the future can be eliminated by an equivalent measure change; that is called an off-white noise. I derive from well-known results a necessary and sufficient condition for a spectral density to describe an off-white noise.
引用
@article{arxiv.math/0104027,
title = {Spectral densities describing off-white noises},
author = {Boris Tsirelson},
journal= {arXiv preprint arXiv:math/0104027},
year = {2015}
}
备注
12 pages, LaTeX2e