Stephen Pollock , Queen Mary, University of London
October 1, 2000
Download full paper
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