Showing math.STShow all
2 papers · 1 filter
math.ST2020
Spectral methods for small sample time series: A complete periodogram approach
Sourav Das, Suhasini Subba Rao, Junho Yang
The periodogram is a widely used tool to analyze second order stationary time series. An attractive feature of the periodogram is that the expectation of the periodogram is approxi…
math.ST2020
Reconciling the Gaussian and Whittle Likelihood with an application to estimation in the frequency domain
Suhasini Subba Rao, Junho Yang
In time series analysis there is an apparent dichotomy between time and frequency domain methods. The aim of this paper is to draw connections between frequency and time domain met…