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Article | REF: TE5220 V1

Temporal series or chronological series

Author: Michel PRENAT

Publication date: August 10, 2012, Review date: January 6, 2020

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4. Covariance and spectral density

This chapter describes the concepts of covariance and spectral density for stationary random processes, focusing on the aspects that are most useful for time series.

4.1 Definition and properties of covariance

As seen in 2.1 , if the process (X t )...

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Covariance and spectral density
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