Mathematical framework for pseudo-spectra of linear stochastic difference equations

  1. Bujosa Brun, Marcos
  2. Bujosa Brun, Andrés
  3. García Ferrer, Antonio
Journal:
Documentos de Trabajo (ICAE)

ISSN: 2341-2356

Year of publication: 2015

Issue: 13

Pages: 1-15

Type: Working paper

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More publications in: Documentos de Trabajo (ICAE)

Abstract

Although spectral analysis of stationary stochastic processes has solid mathematical foundations, this is not always so for some non-stationary cases. Here, we establish a rigorous mathematical extension of the classic Fourier spectrum to the case in which there are AR roots in the unit circle, ie, the transfer function of the linear time-invariant filter has poles on the unit circle. To achieve it we: embed the classical problem in a wider framework, the Rigged Hilbert space, extend the Discrete Time Fourier Transform and defined a new Extended Fourier Transform pair pseudo-covariance function/pseudo-spectrum. Our approach is a proper extension of the classical spectral analysis, within which the Fourier Transform pair auto-covariance function/spectrum is a particular case. Consequently spectrum and pseudo-spectrum coincide when the first one is defined.

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