Stephen Pollock ,
Queen Mary, University of London
October 1, 2000
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