School of Economics and Finance

No. 422: Circulant Matrices and Time-series Analysis

Stephen Pollock , Queen Mary, University of London

October 1, 2000

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This paper sets forth some of the salient results in the algebra of circulant matrices which can be used in time-series analysis. It provides easy derivations of some results that are central to the analysis of statistical periodograms and empirical spectral density functions. A statistical test for the stationarity or homogeneity of empirical processes is also presented.

J.E.L classification codes: C22

Keywords:Time-series analysis, Circulant matrices, Discrete Fourier transforms, Periodograms