Lecture 7:
William Jenkins first gave this lecture 1 Oct 1996
Sequence Analysis II: Optimal Filtering and Spectral
Analysis
Relevant Reading:
- Davis : pp 217 - 276 (the discussion of Fourier/spectral analysis
is confusing)
- Recipes: chapters 12 and 13 (a lot of detail, but a good resource)
- Jenkins and Watts : the classic text in time series analysis
(see book list)
Table of Contents: (clicking
below goes to section, clicking "Goto Lecture TOC" returns here.
Last changed 7 Oct 1996.
- 7.1 Optimal (and Other) Filtering
- 7.1.1 The Weiner (Optimal) Filter
- 7.1.2 Other Filters
- 7.2 The Fast Fourier Transform (FFT)
- 7.2.1 Computational Efficacy
- 7.2.2 Limits and Constraints
- 7.3 Power Spectral Analysis
- 7.3.1 Types of Spectra
- 7.3.2 Doing it with FFT
- 7.3.3 Frequency Binning and Using Specplot
- 7.4 Nyquist Limits and Data Windowing
- 7.4.1 The Nyquist Theorem and Frequency Folding or Aliasing
- 7.4.2 Data Windowing and Frequency Leakage
- 7.5 Non-Uniform Time Series
- 7.5.1 Lomb's Method
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