S8 Time Series Analysis
Room: 531 Huxley
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Department of Mathematics
Imperial College London
180 Queens Gate, London SW7 2BZ
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,
S(f ) =
|f | .
With = 0, we can use the biased esti
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 each frequency to the variance of the process.
Let us def