S8 Time Series Analysis
Andrew Walden
Room: 531 Huxley
email: [email protected]
Check and use Blackboard to obtain all course resources.
Department of Mathematics
Imperial College London
180 Que
Chapter 5
A nave non-parametric spectral estimator the periodogram
Suppose the zero mean discrete stationary process cfw_Xt has a purely continuous
spectrum with sdf S(f ). We have,
1
X
S(f ) =
s e
1
Chapter 3
Spectral Representation theorem for discrete
time stationary processes
Spectral analysis is a study of the frequency domain characteristics of a process, and
describes the contribution of ea