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0answers
40 views

Covariance between real and imaginary parts of Fourier transform of a stationary time series

Since Fourier transform of a random stationary time series(in the case of existence) is not necessarily real, my question is what is the relation between the covariance of real and imaginary parts of ...
2
votes
1answer
39 views

Levy processes, vanilla option and Fourier Transform

The context to this problem is mathematical finance, although the answer does not need specific knowledge of the area. I am trying to work out the expression for the price of a call option using Levy ...
1
vote
1answer
27 views

Fourier transform of n-th power of autocorrelation of a random process

I'm having troubles in understanding how Fourier transform of the n-th power of a time function is obtained. In particular I came across to a particular result with respect to the calculation of the ...
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votes
0answers
22 views

Parameter estimation using characteristic function

Is it possible to do parameter fitting using log-returns data & the characteristic function(CF) in Matlab? I have been trying it on the Variance Gamma Scaled Self-Decompasable (VGSSD) model CF for ...
0
votes
1answer
24 views

Connection between Expected power and Expected Energy over Frequency - Dirac Delta Squared?

I know math people don't like the Dirac delta, so feel free to answer with your measure theory - I'll try my best to understand. Suppose $x$ is a WSS stochastic process $\{x[n] : n \in ...
2
votes
1answer
66 views

How to model a stochastic process, continuous in stepsize, which converges against a simple random walk?

I want to compute the probability distribution for a stochastic process with discrete number of steps, where each real value has a nonvanishing probability to be the next stepsize. And I want to ...
1
vote
1answer
291 views

Form of the spectral density in Wiener Khinchin theorem?

The Wiener–Khinchin theorem says the autocorrelation function of a wide sense stationary process can be written as a Stieltjes integral, where the integrator function is called the power spectral ...
0
votes
1answer
253 views

Power spectrum for discrete signals.

If $x(t)$ is a real (aperiodic) power signal, i.e. \begin{equation} 0<\lim_{T\rightarrow\infty} \frac{1}{T}\int_{-T/2}^{T/2}|x(t)|^2 dt<\infty \end{equation} $x_T (t)$ is a truncated version of ...
3
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1answer
143 views

Why is the Fourier Transform of a Lévy Process a continuous function? What about the inverse? (Bochners Theorem)

I was confronted with this question when reading "Stochastic Integration and Differential Equations" by Protter. Just after the definition of a Lévy process he says the following: If $X_t$ is a ...
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1answer
154 views

Windowed Fourier transform of Gaussian distributed random time series

If I have a discrete time series $x(t_i)$, and each of the $x(t_{i})$ are normally distributed, i.e., come from a Gaussian distribution with mean zero and variance one, would a windowed finite Fourier ...
2
votes
0answers
81 views

Scale invariance and $1/f^2$ power spectrum

In the paper Occlusion Models for Natural Images : A Statistical Study of a Scale-Invariant Dead Leaves Model; Lee, A. B. Mumford, D. B. Huang, J.; International Journal of Computer Vision I read ...