Palgrave Handbook of Econometrics: Applied Econometrics

(Grace) #1
D.S.G. Pollock 291

To demonstrate this result, we must consider the Fourier representation of a real-
valued square-integrable functionx(t)defined over the real line. The following are
the corresponding expressions for the functionx(t)and its Fourier transformξ(ω):


x(t)=
1
2 π

∫∞

−∞

eiωtξ(ω)dω←→ξ(ω)=

∫∞

−∞

e−iωtx(t)dt. (6.156)

By samplingx(t)at intervals ofπ/ωd, a sequence:


{xτ=x(τ[π/ωd]);τ=0,±1,±2,...},

is generated. The elements of the sequence and their Fourier transformξs(ω)are
given by:


xτ=
1
2 ωd

∫ωd

−ωd

exp{iωτ[π/ωd]}ξS(ω)dω

←→

ξS(ω)=

∑∞

τ=−∞

xτexp{−iωτ[π/ωd]}.

(6.157)

Sinceξ(ω)=ξS(ω)is a continuous function defined on the interval[−ωd,ωd],
it may be regarded as a function that is periodic in frequency, with a period of
2 ωd. Putting the right-hand side of (6.157) into the left-hand side of (6.156), and
taking the integral over[−ωd,ωd]in consequence of the band-limited nature of the
functionx(t), gives:


x(t)=
1
2 π

∫ωd

−ωd

{ ∞

τ=−∞

xτe−iωτ[π/ωd]

}
eiωtdω

=
1
2 π

∑∞

τ=−∞


∫ωd

−ωd

eiω(t−[τπ/ωd])dω.

(6.158)

The integral on the right-hand side is evaluated as:


∫ωd

−ωd

eiω(t−[τπ/ωd])dω= 2
sin(tωd−τπ)
t−τ[π/ωd]

. (6.159)


Putting this into the right-hand side of (6.158) gives:


x(t)=

∑∞

τ=−∞


sin(tωd−τπ)
π(t−τ[π/ωd])
=

∑∞

k=−∞

xτφd(τ−k), (6.160)

where:


φd(t−τ)=
sin(tωd−τπ)
π(t−τ[π/ωd])

. (6.161)

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