This is a summary of links featured on Quantocracy on Sunday, 11/12/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Wiener Khinchin theorem and Gaussian processes [OS Quant]The Wiener-Khinchin theorem provides a clever way of building Gaussian processes for regression. Ill show you this theorem in action with some Python code and how to use it to model a process. The Wiener-Khinchin theorem states that an autocovariance function of a weakly stationary process is a function of the power spectral density and vice versa. These two are called Fourier duals and can be