APPENDIX I

The Fourier, Laplace and

Z-transforms

This appendix provides a brief introduction to the Fourier

transform wh ich is a valuable mathematical tool in tim e-series
analysis. Further details may be found in many books such as
Hsu (1967) and Sneddon (1972). The related Laplace and
Z-transforms are also introduced.
Given a (possibly complex-valued) function h(t) of a real
variable t , the Fourier transform of h(t) is usually defined as

H(w) = J 00

- 00
h(t)e- iw tdt (Al.l)

provided the integral exists for every real w. Note that H( w)

is in general complex. A sufficient condition for H(w) to
exist is

J: oo
Ih(t) Idt <oo.

If (Al.I) is regarded as an integral equation for h(t) given H(w),

then a simple inversion formula exists of the form

h(t) = -
I
f
21T -
00

00
H(w)e i w tdw (Al.2)

and h(t) is called the inverse Fourier transform of H( w), or

sometimes just the Fourier transform of H(w). The two

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