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 Queens Gate, London SW7 2BZ
1
2
Chapter 1
Introduction
Tim
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
|f | .
2
i2f
= 1
With = 0, we can use the biased esti
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 each frequency to the variance of the process.
Let us def