IDEAS home Printed from https://ideas.repec.org/p/qmw/qmwecw/wp422.html
   My bibliography  Save this paper

Circulant Matrices and Time-series Analysis

Author

Listed:
  • Stephen Pollock

    (Queen Mary, University of London)

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.

Suggested Citation

  • Stephen Pollock, 2000. "Circulant Matrices and Time-series Analysis," Working Papers 422, Queen Mary University of London, School of Economics and Finance.
  • Handle: RePEc:qmw:qmwecw:wp422
    as

    Download full text from publisher

    File URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/archive/wp422.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Pollock, D.S.G., 1991. "On the criterion function for arma estimation," Serie Research Memoranda 0074, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pollock, D.S.G., 2006. "Econometric methods of signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2268-2292, May.
    2. Stephen Pollock & Iolanda Lo Cascio, 2005. "Orthogonality Conditions for Non-Dyadic Wavelet Analysis," Working Papers 529, Queen Mary University of London, School of Economics and Finance.
    3. D.S.G. Pollock, 2013. "Filtering macroeconomic data," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 5, pages 95-136 Edward Elgar Publishing.

    More about this item

    Keywords

    Time-series analysis; Circulant matrices; Discrete Fourier transforms; Periodograms;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:qmw:qmwecw:wp422. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Nicholas Owen). General contact details of provider: http://edirc.repec.org/data/deqmwuk.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.