Text: Electrical Engineering
Let Pe be the power spectrum of a wide-sense stationary process xn and let X be the eigenvalues of the M x M autocorrelation matrix R. Szego's theorem states that if g is a continuous function, then
gx1 + g2 + ... + gM lim M -> infinity
g[Pe] du
Using this theorem, show that
1/1M lim det(R) M -> infinity