Lecture

Spectral Estimation: Periodogram and Tapering

In course

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Description

This lecture covers p-variate spectral representations, ACVS estimation, and spectral estimation in time series analysis. It delves into the properties of spectral density functions, cross-spectral densities, and the estimation of auto-covariance sequences. The instructor explains the use of spectral estimators, the periodogram, and the impact of tapers on reducing bias in spectral estimation.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_q09nlv9d

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Data analysis: Time series

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