Compute the spectral density of terms, Basic Statistics

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Compute the spectral density of terms

Assignment:

Suppose we are given a stationary mean-zero series X_t with spectral density f_X (ω) (note that X_t is not necessarily a white noise),and we then construct a new series Y_t by Y_t=a Y_t-1+X_t with |a|< 1. Compute the spectral density of Y_t in terms of f_X(ω) and a.

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Basic Statistics: Compute the spectral density of terms

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Basic Statistics: Compute the spectral density of terms

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