Spectral densities describing off-white noises
arXiv:math/0104027 · doi:10.1016/S0246-0203(02)01133-0
Abstract
For the white noise, the spectral density is constant, and the past (restriction to (-\infty,0)) is independent from the future (restriction to (0,+\infty)). If the spectral density is not too far from being constant, then dependence between the past and the future can be eliminated by an equivalent measure change; that is called an off-white noise. I derive from well-known results a necessary and sufficient condition for a spectral density to describe an off-white noise.
12 pages, LaTeX2e