2
$\begingroup$

The Wiener–Khinchin theorem states that, for stationary processes, the covariance is the Fourier dual of the spectral density. I'm wondering if this statement is true for non-stationary processes if, say, the process only changes slowly. Within some range in which the process is mostly stationary, does the spectral density relate to the covariance?

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.