Rational Spectral Densities

Abstract

Purpose Processes with rational Power Spectrum Density (PSD) play a very important role for modelling second order properties of processes. In particular, piecewise continuous PSDs can be approximated with an arbitrary precision by rational PSDs (and even polynomial PSDs, see Appendix F). Moreover, these models involve few parameters, since in many situations it is sufficient to use rational PSDs of low degree. Finally, the identification or the estimation of the parameters of a rational PSD is relatively simple, as will be seen in the following chapters. We shall therefore indicate here some important results about these processes.