Circulant Matrices and Time-series Analysis

This paper sets forth some of the salient results in the algebra of circulant matrices which can be used in time-series analysis. It provides easy derivations of some results that are central to the analysis of statistical periodograms and empirical spectral density functions. A statistical test for the stationarity or homogeneity of empirical processes is also presented.

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Year of publication:	2000-10
Authors:	Pollock, Stephen
Institutions:	School of Economics and Finance, Queen Mary
Subject:	Time-series analysis \| Circulant matrices \| Discrete Fourier transforms \| Periodograms

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 422
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005113456