Hi, all:
I have a question in time series.
The stationary time series { X_t } has the so called Cramer
representation:
X_t = \int_0^1 A(\omega)\exp{i2\pi\omtga t}dZ(\omega)
where Z(\omega) is an orthogonal process with
var(Z(\omega_1)-Z(\omega_2))=\abs(\omega_1-\omega_2).
A(\omega) is called the transfer function. My question is: Is the
A(\omega) unique?
Thanks for your help.
Ming
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