Quelques notions sur l'analyse spectrale des séries temporelles
Pierre-Alain Jayet · Histoire & Mesure · 1991
Pierre-Alain Jayet. Some notions on spectral analysis of time series. This article introduces to the main statistical features of the spectral analysis. Attention is focused on the periodic process in order to explain how it is possible to move the thinking from the temporal dimension to the dimension of frequencies. After an introduction to the periodical process, the author studies the stationnary process and the notion of spectral density. Estimation problems are first analysed with simulations made from process based on simple hypotheses, and then with an actual série. Article concludes with a presentation of the cospectral analysis.