2.2.7. àñ÷åò õàðàêòåðèñòèê ñòàöèîíàðíûõ ðåæèìîâ q s XX s−k αs−k,r (i ω) e k=0 r=0 −iωτr SV X (ω) = γ SV V (ω), (2.2.203) èç êîòîðîé íàõîäèì H1 SXX (ω) = SV V (ω), H2 (2.2.204) ãäå 2 H1 = γ , H2 = q s X X k=0 r=0 × s−k β(s − k) αs−k,r (i ω) q s XX s−k −iωτr αs−k,r (i ω) e e iωτr × . k=0 r=0 Òåïåðü, ïîëó÷èâ SXX (ω), ñ ïîìîùüþ îðìóëû (2.2.204) (äëÿ Y = Z = X ) ìîæíî âû÷èñëèòü CXX (t), à ñëåäîâàòåëüíî, è ñòàöèîíàðíóþ äèñ2 ïåðñèþ σ̄X = CXX (0), ÷òî ïîçâîëÿåò çàïèñàòü êîâàðèàöèîííóþ ìàòðèöó 1 r01 r02 ... r0,q−1 r0q r10 1 r ... r r 12 1,q−1 1q r r 1 ... r r 20 21 2,q−1 2q 2 KXX = σ̄X (2.2.205) ... ... ... ... ... ... rq−1,0 rq−1,1 rq−1,2 ... 1 rq−1,q rq0 rq1 rq2 ... rq,q−1 1 äëÿ îðìèðîâàíèÿ çàìêíóòîãî âèäà íîðìàëüíîé ïëîòíîñòè i h 1 1 ⊺ −1 N x; 0, KXX = exp − x K x XX 2 (2 π)q/2 |KXX |1/2 ðàñïðåäåëåíèÿ öåíòðèðîâàííîãî ñëó÷àéíîãî âåêòîðà ⊺ X = X0 , X1 , ..., Xq , Xk = X(t + τk ), k = 0, 1, ..., q; rij = rji = ρXX (τj − τi ), (2.2.206) 0 6 i