Daniela Huppenkothen (NYU) came to talk about power spectra and cross-spectra today. The idea of the cross-spectrum is that you multiply one signal's Fourier transform against the complex conjugate of the others'. If the signals are identical, this is the power spectrum. If they differ by phase lags, the answer has an imaginary part, and so on. We then launched into a long conversation about the distribution of cross-spectrum components given distributions for the original signals. In the simplest case, this is about distributions of sums of products of Gaussian-distributed variables, where analytic results are rare. And that's the simplest case!
One paradox or oddity that we discussed is the following: In a long time series, imagine that every time point gets a value (flux value, say) that is drawn from a very skew or very non-Gaussian distribution. Now take the Fourier transform. By central-limit reasoning, all the Fourier amplitudes must be very close to Gaussian-distributed! Where did the non-Gaussianity go? After all, the FT is simply a rotation in data space. I think it probably all went into the correlations of the Fourier amplitudes, but how to see that? These are old ideas that are well understood in signal processing, I am sure, but not by me!
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