Some interesting facets of spectral analysis

Craigmile, P.F. (2009) Some interesting facets of spectral analysis. ISBA Bulletin, 16(3), pp. 8-11.

Abstract

Spectral analysis is used to explore the features of a stochastic process in the frequency domain typically via a Fourier transform. Spectral analysis is ideally suited to analyzing periodicities. It is also used for the analysis of dependence inherent in stationary or certain non-stationary processes. For many processes modeling spectra is simpler than modeling, for example, the (auto) covariance function. One application of this is to the study of long memory processes. In this annotation, after giving some background, I provide some interesting developments of the spectral analysis of stochastic processes. Whenever possible I focus on the Bayesian developments. This is certainly not an exhaustive exploration of the literature.

• Item Type: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Craigmile, Dr Peter
• Authors: Craigmile, P.F.
• College/School: College of Science and Engineering > School of Mathematics and Statistics > Statistics
• Journal Name: ISBA Bulletin