Spectral densities describing off-white noises |
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Authors: | Boris Tsirelson |
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Affiliation: | School of Mathematics, Tel Aviv University, Tel Aviv 69978, Israel |
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Abstract: | For the white noise, the spectral density is constant, and the past (restriction to (−∞,0)) is independent from the future (restriction to (0,+∞)). If the spectral density is not too far from being constant, then dependence between the past and the future can be eliminated by an equivalent measure change. A necessary and sufficient condition for a spectral density to have such a property (in other words, to describe an off-white noise) is derived here from well-known results. |
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