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Circulant Matrices and Time-series Analysis

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Author Info
Stephen Pollock (Queen Mary, University of London)

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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.

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File URL: http://www.econ.qmul.ac.uk/papers/doc/wp422.pdf
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Publisher Info
Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number 422.

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Date of creation: Oct 2000
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Handle: RePEc:qmw:qmwecw:wp422

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Related research
Keywords: Time-series analysis; Circulant matrices; Discrete Fourier transforms; Periodograms;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

This paper has been announced in the following NEP Reports:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
  1. Prof D.S.G. Pollock, 2008. "The Realisation of Finite-Sample Frequency-Selective Filters," Discussion Papers in Economics 08/13, Department of Economics, University of Leicester. [Downloadable!]
  2. D.S.G. Pollock, 2008. "Realisations of Finite-Sample Frequency-Selective Filters," Discussion Papers in Economics 08/32, Department of Economics, University of Leicester. [Downloadable!]
  3. D.S.G. Pollock, 2007. "Investigating Economic Trends And Cycles," Discussion Papers in Economics 07/17, Department of Economics, University of Leicester, revised Apr 2008. [Downloadable!]
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