Time Series Analysis, Lecture 19: Spectral Density and Distribution
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Time Series Analysis, Lecture 19: Spectral Density and Distribution
Following from the previous lecture, we introduce the spectral density and distribution functions. We also state the Wiener-Khintchine Theorem, which relates the spectral distribution & density to the autocovariance function. We secondly discuss how filtering an ARMA process affects the spectral density. We also use RStudio to look at some ...
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