Spectral Analysis and Time Series - max planck research school ...

A. Lagg – Spectral Analysis
Probability density functions
describes the probability that the data will assume a value within some defined
range at any instant of time
for small x :
Prob[ xxt≤x x] = lim
T ∞
Prob[ xxt≤x x] ≈ p x x
probability density function
px =
lim
x 0
probability distribution function
P x
= Prob[xt≤x]
x
= ∫ pd
−∞
Prob[ xxt≤x x]
x
T x
= lim
x 0
k
T , T x = ∑
i=1
1
x [ lim
T ∞
t i
T x
T ]