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New in Mathematica 9Time Series and Stochastic Differential Equations

Perform Spectral Analysis of a Time Series 

Generate a sample path from an ARProcess[1].

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X

Compute smoothed estimates of the PowerSpectralDensity of the data.

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X
Out[2]=

The theoretical PowerSpectralDensity for the ARProcess.

In[3]:=
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X
Out[3]=