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MacDonald's theorem and Milatz's theorem for multivariate stochastic processes

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  • Van Vliet, K.M.

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.

Suggested Citation

  • Van Vliet, K.M., 1977. "MacDonald's theorem and Milatz's theorem for multivariate stochastic processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 86(1), pages 130-136.
    • Handle: RePEc:eee:phsmap:v:86:y:1977:i:1:p:130-136
    DOI: 10.1016/0378-4371(77)90066-8
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