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Fourier Analysis of Time Series

611

An introduction to the theory and the computational techniques of Fourier analysis of time series with emphasis on the latter. Fast Fourier Transform. Methods for determining periodicity. Periodogram. Filtering of data. Sprectral window. Sampling and aliasing. Some use of the digital computer.

Text: 

The Analysis of Time Series, Chatfield, Chapman Hall/CRC, 6th edition.

Prerequisite: 

MATH 122 and a calculus based statistics course.

Credit Hours: 
3
Chapter Topics
1 Introduction
2 Simple descriptive techniques
3 Probability models for time series
4 Estimation in the time domain
5 Forecasting
6 Stationary processes in the frequency domain
7 Spectral analysis
9 Linear systems as time allows

(Han 2008 )

Frequency: 
Odd Spring Semesters Only

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