Spectral Analysis of Time Series
Periodograms, multitaper methods, and long-memory processes.
Spectral Analysis of Time Series. Periodograms, multitaper methods, and long-memory processes.
Foundations and canonical references
The standard treatments of spectral analysis of time series approach the subject from complementary angles. Percival, Spectral Analysis for Physical Applications (1993) is the anchor reference for the subject and lays out the core definitions, theorems, and worked examples that practitioners return to.
Open methodological questions for spectral analysis of time series include sharpening the bridges between foundational theory and computational practice, extending classical results to broader or more structured settings, and integrating the techniques surveyed above with adjacent mathematical disciplines. The references listed in this page are the entry points that current work builds on.
Prerequisites
Sources
- textbook · primary · 1993Spectral Analysis for Physical Applicationspercival-1993, walden-1993
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