Mathematical framework for pseudo-spectra of linear stochastic difference equations

• Autores: Marcos Bujosa Brun, Andrés Bujosa Brun , Antonio García Ferrer
• Localización: Documentos de Trabajo (ICAE), ISSN-e 2341-2356, Nº. 13, 2015, págs. 1-15
• Idioma: inglés
• Enlaces
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• Resumen

  • Although spectral analysis of stationary stochastic processes has solid mathematical foundations, this is not always so for some non-stationary cases. Here, we establish a rigorous mathematical extension of the classic Fourier spectrum to the case in which there are AR roots in the unit circle, ie, the transfer function of the linear time-invariant filter has poles on the unit circle. To achieve it we: embed the classical problem in a wider framework, the Rigged Hilbert space, extend the Discrete Time Fourier Transform and defined a new Extended Fourier Transform pair pseudo-covariance function/pseudo-spectrum. Our approach is a proper extension of the classical spectral analysis, within which the Fourier Transform pair auto-covariance function/spectrum is a particular case. Consequently spectrum and pseudo-spectrum coincide when the first one is defined.

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