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Tagged with fourier-transform stochastic-processes
5 questions
0
votes
0
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14
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What is the spectral density matrix, in the context of vector stochastic processes
I cannot seem to find any good/easy to read resources on the spectral theory, and in particular for multivariate stochastic processes.
I want to know:
Any resources explaining spectral theory
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- 379
2
votes
1
answer
85
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Why can weekends cause harmony?
The following plot shows power spectra (periodograms) of a sample from $X_t \sim \operatorname{Poisson}(1)$ along with that same sample where:
Weekends were set to zero
Sundays were set to zero
...
- 9,660
3
votes
1
answer
192
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Continuous time Fourier representation
I have learned that the Fourier transform of a continuous-time unit-periodic stochastic process is:
$$x(t) = \sum\limits_{k=-\infty}^{\infty} a_k e^{i2\pi kt} \quad \quad \text{ where } \quad \quad ...
- 333
2
votes
1
answer
334
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Energy savings prediction model using stochastic processes and Monte Carlo Simulation
I want to build a model that quantifies the energy savings from a building retrofit project. For example a company is using a heating oil radiator system, that is meant to be replaced by a gas ...
- 161
25
votes
1
answer
1k
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Wavelet-domain Gaussian processes: what is the covariance?
I've been reading Maraun et al, "Nonstationary Gaussian processes in wavelet domain: Synthesis, estimation, and significant testing" (2007) which defines a class of non-stationary GPs that ...
- 1,002