Power spectral density of a single Brownian trajectory: what one can and cannot learn from it

The power spectral density (PSD) of any time-dependent stochastic process X _t is a meaningful feature of its spectral content. In its text-book definition, the PSD is the Fourier transform of the covariance function of X _t over an infinitely large observation time T , that is, it is defined as an...

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Bibliographic Details

Published in:	New Journal of Physics
Main Authors:	Diego Krapf, Enzo Marinari, Ralf Metzler, Gleb Oshanin, Xinran Xu, Alessio Squarcini
Format:	Article
Language:	English
Published:	IOP Publishing 2018-01-01
Subjects:	power spectral density single-trajectory analysis probability density function exact results 87.80.Nj 05.40.Jc
Online Access:	https://doi.org/10.1088/1367-2630/aaa67c