\begin{tikzpicture}[
    declare function={
        g(\x) = 0.6 / ((\x + 3)^2 + 0.6^2) / (3.1415);
        f(\x) = exp(-0.6 * abs(\x)) * cos(3 * deg(\x));},
]
   \begin{groupplot}[group style={
                      group name=myplot,
                      group size= 3 by 1,
                      horizontal sep=2cm},
                      height=5cm,
                      width=5cm,
                      ]
                      
        \nextgroupplot[
        axis x line=center,
        axis y line=center,
        xlabel={$\omega$},
        xlabel style={below right},
        title={$\rho(\omega)$},
        ymajorticks=false,
        xmajorticks=false,
        ymin=-1,
        ymax=1,
        axis line style={gray},
		]
        \addplot[mark=none,domain=-4:4,samples=100] {g(x)};
        
        \nextgroupplot[
        axis x line=center,
        axis y line=center,
        xlabel={$\tau$},
        xlabel style={below right},
        title={$\rho(\tau)$},
        ymajorticks=false,
        xmajorticks=false,
        ymin=-1,
        ymax=1.1,
        axis line style={gray},
		]
        \addplot[mark=none,domain=-4:4,samples=100] {f(x)};
        
        \nextgroupplot[
        ymajorticks=false,
        xmajorticks=false,
        view={0}{85},
        axis lines=none,
        colormap={blackwhite}{gray(0cm)=(0.0); gray(1cm)=(1.0)},
        title={$\rho(t, t')$}
        ]
        \addplot3[
            mesh,
            domain=-3:3,
            samples=30,
            draw = black,
            line width = 0.1pt,
            ] {f(x-y)};
    \end{groupplot}
    
    % Don't know how to do it better
    \draw[gray,-stealth] (4.0, 4.0)  to [out=45,in=135, looseness=1] (6.0, 4.5);
    \draw[gray,-stealth] (11.0, 4.0)  to [out=45,in=135, looseness=1] (13.0, 4.5);
    
    \draw[gray,-stealth] (12.5, -0.6) to (12.5, 0.4) node[above]{\small $t$};
    \draw[gray,-stealth] (12.5, -0.6) to (13.5, -0.6) node[right]{\small $t'$};
    \draw[gray,-stealth] (12.5, -0.6) to (13.2, +0.1) node[right]{\small $T$};
    \draw[gray,-stealth] (12.5, -0.6) to (13.2, -1.3) node[below]{\small $\tau$};
\end{tikzpicture}