Spectral analysis for univariate time series [E-Book] / Donald B. Percival, Andrew T. Walden.
Percival, Donald B., (author)
Walden, Andrew T., (author)
Cambridge : Cambridge University Press, 2020
1 online resource (xxiv, 691 pages)
Cambridge series on statistical and probabilistic mathematics ; 51
Full Text
Table of Contents:
  • Introduction to spectral analysis
  • Stationary stochastic processes
  • Deterministic spectral analysis
  • Foundations for stochastic spectral analysis
  • Linear time-invariant filters
  • Periodogram and other direct spectral estimators
  • Lag window spectral estimators
  • Combining direct spectral estimators
  • Parametric spectral estimators
  • Harmonic analysis
  • Simulation of time series.