Lecture

Stochastic Processes: Power Spectral Density

Description

This lecture covers the concept of power spectral density in continuous-time stochastic processes, discussing the mathematical representation and properties of spectral density functions, such as autocorrelation and power spectrum. The instructor explains how to calculate power spectral density from autocorrelation functions and highlights the importance of spectral density in signal processing applications.

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Instructor

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Official source

https://mediaspace.epfl.ch/media/0_b65wg3ff

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Statistics

Data analysis: Time series

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