Abstract
For the white noise, the spectral density is constant, and the past (restriction to (-∞, 0)) is independent from the future (restriction to (0,+∞)). 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. A necessary and sufficient condition for a spectral density to have such a property (in other words, to describe an off-white noise) is derived here from well-known results.
| Original language | English |
|---|---|
| Pages (from-to) | 1059-1069 |
| Number of pages | 11 |
| Journal | Annales de l'institut Henri Poincare (B) Probability and Statistics |
| Volume | 38 |
| Issue number | 6 |
| DOIs | |
| State | Published - 2002 |
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