Circulant Matrices and Time-series Analysis

Stephen Pollock
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Stephen Pollock: Queen Mary, University of London

No 422, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: 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.

Keywords: Time-series analysis; Circulant matrices; Discrete Fourier transforms; Periodograms (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2000-10-01
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:422

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