MacDonald's theorem and Milatz's theorem for multivariate stochastic processes |
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Authors: | KM Van Vliet |
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Institution: | Centre de Recherches Mathématiques, Université de Montréal, Montréal, Québec, Canada H3C 3J7 |
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Abstract: | MacDonald's theorem, which expresses the spectral density of a randomly fluctuating variable α(t) in terms of the finite time average of that variable, αθ(t), is generalized for multivariate processes. For purely random processes, having a white spectrum, this also yields the corresponding generalization of Milatz's theorem. |
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