4.7 Suppose xt and yt are stationary zero-mean time series with xt independent of ys for all...

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4.7 Suppose xt and yt are stationary zero-mean time series with xt independent of ys for all s and t. Consider the product series zt = xtyt.

Prove the spectral density for zt can be written as

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Time Series Analysis And Its Applications With R Examples

ISBN: 9780387293172

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Authors: Robert H. Shumway, David S. Stoffer

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4.7 Suppose xt and yt are stationary zero-mean time series with xt independent of ys for all...

Question:

z(w) = [ 1/2 fz (w1)y(v) dv. 1/2 -1/2 fr(w-v)fy(v)

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Time Series Analysis And Its Applications With R Examples

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