Solved – Spectral density of product

time series

Let $X_t$ and $Y_t$ stationary, zero mean, independent processes with $\phi_x(\lambda)$ and $\phi_y(\lambda)$ spectral densities.

How can I prove that the process $Z_t=X_tY_t$ has a spectral density:

$\phi_z(\lambda)=\int_{-\pi}^{\pi}\phi_x(\lambda-\omega)\cdot\phi_y(\omega)d\omega$

Thanks for the help!

Best Answer

This question needs some ideas from random processes and some from Fourier theory.

The autocorrelation function of a (continuous-time finite-variance) stationary random process $\{X_t\colon -\infty < t < \infty\}$ is $R_X(t) = E[X_{\tau}X_{\tau+t}]$ and the spectral density $S_X(\omega)$ is the Fourier transform of $R_x(t)$. For your problem, the independence of the $\{X_t\}$ and $\{Y_t\}$ processes gives that

$$R_Z(t) = E[Z_{\tau}Z_{\tau+t}] = E[X_{\tau}Y_{\tau}X_{\tau+t}Y_{\tau+t}] = E[X_{\tau}X_{\tau+t}]E[Y_{\tau}Y_{\tau+t}]= R_X(t)R_Y(t).$$

So much so for random processes. From Fourier transform theory, we have that the transform of a product of two functions is the convolution of their Fourier transforms. If you are not familiar with this, see, for example, the last paragraph of Section 5.8 of the Wikipedia article on the Fourier transform. Thus, $$S_Z(\omega) = \int_{-\infty}^\infty S_X(\lambda)S_Y(\omega-\lambda)\, \mathrm d\lambda.\tag{1}$$

For your particular application with a discrete-time random process (a.k.a. time series), similar results apply but in $(1)$ the limits work out to be $-\pi$ and $\pi$. (You will need to know about the discrete-time Fourier transform to get to this). Note also that you might be missing a $\frac{1}{2\pi}$ factor in the result you state as wanting to prove in your question.

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