STAT 520
Spectral Analysis of Time Series
Course Description
Estimation of spectral densities for single and multiple time series. Nonparametric estimation of spectral density, cross-spectral density, and coherency for stationary time series, real and complex spectrum techniques. Bispectrum. Digital filtering techniques. Aliasing, prewhitening. Choice of lag windows and data windows. Use of the fast Fourier transform. Prerequisite: either STAT 342, STAT 390, STAT 509/CS&SS 509/ECON 580, or IND E 315. Offered: jointly with E E 520.