The calculation here is quite painful so I omitted it. If you want a reference, check Appendix C2 in "Time Series Analysis and Its Applications" by Shumway & Stoffer. In my copy of their book, it's on page 513. link.springer.com/book/10.1007/978-3-319-52452-8
Can someone please explain how to derive the variance of dc(wj) in terms of Fx(wj) in 1:01:02 ?
The calculation here is quite painful so I omitted it. If you want a reference, check Appendix C2 in "Time Series Analysis and Its Applications" by Shumway & Stoffer. In my copy of their book, it's on page 513. link.springer.com/book/10.1007/978-3-319-52452-8