Stat 8193: Spectral Analysis of Time Series (Summer 2011)

Peter F. Craigmile

Email: pfc <at>
Office: Cockins Hall, Room 427

Our textbook is: D. B. Percival and A. Walden. Spectral Analysis for Physical Applications, Second Edition. Cambridge University Press, Cambridge, 1994.

Topics covered in this 6 week course

  1. A review of stationary processes
  2. Complex exponentials and complex-valued processes
  3. The different flavors of Fourier theory
  4. Spectral analysis for stationary processes
  5. Linear filtering
  6. Nonparametric spectral estimation
    1. The periodogram
    2. Tapering and the direct spectral estimator
    3. Statistical properties of direct spectral estimates
    4. Prewhitening
    5. Smoothing methods
    6. Multitaper spectral estimation

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