Circulant Matrices and Time-series Analysis

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.Time-series analysis, Circulant matrices, Discrete Fourier transforms, Periodograms