Lesson 12: Spectral Analysis
- Read Sections 4.3, 4.5, and 4.6 of your text.
- Read through the Lesson 12 online notes that follow.
- Complete Lesson 12 Assignment.
This week we'll cover estimation of the spectral density.
After successfully completing this lesson, you should be able to:
- Estimate the spectral density non-parametrically (Daniell kernel & modified Daniell kernel)
- Identify and interpret bandwidth
- Estimate the spectral density parametrically