STAT 520 - Spectral Analysis of Time Series

Institution:

University of Washington-Seattle Campus

Subject:

Statistics

Description:

Estimation of spectral densities for single and multiple time series. Nonparametric estimation of spectral density, cross-spectral density, and coherency for stationary time series, real and complex spectrum techniques. Bispectrum. Digital filtering techniques. Aliasing, prewhitening. Choice of lag windows and data windows. Use of the fast Fourier transform. The parametric autoregressive spectral density estimate for single and multiple stationary time series. Spectral analysis of nonstationary random processes and for randomly sampled processes. Techniques of robust spectral analysis. Offered: jointly with E E 520; W.

Credits:

4.00

Credit Hours:

Prerequisites:

one of STAT 342, STAT 390, STAT 481, or IND E 315

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.washington.edu

Phone Number:

(206) 543-2100

Regional Accreditation:

Northwest Commission on Colleges and Universities

Calendar System:

Quarter

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