MacDonald's theorem and Milatz's theorem for multivariate stochastic processes

K.M. Van Vliet

Physica A: Statistical Mechanics and its Applications, 1977, vol. 86, issue 1, 130-136

Abstract: MacDonald's theorem, which expresses the spectral density of a randomly fluctuating variable α(t) in terms of the finite time average of that variable, αθ(t), is generalized for multivariate processes. For purely random processes, having a white spectrum, this also yields the corresponding generalization of Milatz's theorem.

Date: 1977
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:86:y:1977:i:1:p:130-136

DOI: 10.1016/0378-4371(77)90066-8

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