Abstract
In Chapter 3 we described several types of stationary stochastic process, placing emphasis on the autocovariance (or autocorrelation) function which is the natural tool for considering the evolution of a process through time. In this chapter we introduce a complementary function called the spectral density function, which is the natural tool for considering the frequency properties of a time series. Inference regarding the spectral density function is called an analysis in the frequency domain.
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© 1975 C. Chatfield
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Chatfield, C. (1975). Stationary Processes in the Frequency Domain. In: The Analysis of Time Series: Theory and Practice. Monographs on Applied Probability and Statistics. Springer, Boston, MA. https://doi.org/10.1007/978-1-4899-2925-9_6
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DOI: https://doi.org/10.1007/978-1-4899-2925-9_6
Publisher Name: Springer, Boston, MA
Print ISBN: 978-0-412-14180-5
Online ISBN: 978-1-4899-2925-9
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