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The top answer to this question: Power spectral density vs Energy spectral density states:

However if random process is stationary, then it is for sure that it has some finite power over some band of frequencies

Why is that? Also, is stationarity a necessary condition for a process to have finite power over a band of frequencies?

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    $\begingroup$ The highlighted statement above is false. Read this answer. $\endgroup$ – Dilip Sarwate Oct 28 '13 at 2:01

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