Lecture

Spectral & Parametric Estimation: Time Series

In course

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Description

This lecture covers spectral estimation techniques such as tapering, multi-tapering, and parametric estimation, along with the Whittle likelihood method. The performance of periodograms, AR models, and Yule-Walker estimation are discussed, emphasizing the importance of AR processes in approximating continuous spectra. The lecture also delves into the intricacies of multitaper spectral estimation and the implementation of Whittle's likelihood for time-domain analysis.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_nt000qfl

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Data analysis: Time series

Mathematics

Algebra: Linear algebra

Information engineering

Signal processing: Fourier analysis

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