Spectral densities describing off-white noises

Details Spectral densities describing off-white noises Spectral densities describing off-white noises

2001-04-02

arxiv.org/abs/math/0104027v1

Annales de l'Institut Henri Poincare Probabilites et Statistiques 38:6, 1059-1069 (2002).

Mathematics

Probability

12 pages, LaTeX2e

Scientific paper

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.

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