Elements of Spectral Analysis Lecture notes on time series

Mike West
Duke University

Nov 30 1993

This document is a set of lecture notes first used in Fall semester 1994 in ISDS course STA 293: TOPICS IN STATISTICS. The document covers mathematical and statistical foundation of spectral analysis of time series, Bayesian inference in spectral analysis, and various methodological and practical issues. The material is intended to be accessible to graduate students with a good mathematical background a background in intermediate statistics, including regression analysis. Some prior expose to time series and Bayesian ideas will be most useful, though is not necessary. Graduate students in engineering and physical sciences, and some from social and environmental sciences, have found the material quite accessible, with additional background reading.


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