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Iván's user avatar
Iván's user avatar
Iván
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Power Spectral Density from a wavelet transform?
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Autocovariance of time integrated Ornstein–Uhlenbeck process
Thank you very much. If anyone needs the results $Cov(Y_t, Y_{t+\tau})= \frac{\sigma^2}{2 \theta^3}( -e^{-\sigma (2t+\tau)} - 2 e^{-\theta t} + 2 e^{-\theta (t+\tau)} -2 - e^{-\theta \tau} + 2t\theta )$
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Autocovariance of time integrated Ornstein–Uhlenbeck process
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Autocovariance of time integrated Ornstein–Uhlenbeck process
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Autocovariance of time integrated Ornstein–Uhlenbeck process
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Autocovariance of time integrated Ornstein–Uhlenbeck process
t and v are final times and u and s aux times
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Autocovariance of time integrated Ornstein–Uhlenbeck process
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Autocovariance of time integrated Ornstein–Uhlenbeck process