Lesson 12: Spectral Analysis

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Assignments:

  • 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.

Overview:

This week we'll cover estimation of the spectral density.

Learning Objectives:

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