Spectral Estimation of Stationary Time Series:Recent Developments

Spectral analysis considers the problem of determining (the art of recovering) the spectral content (i.e., the distribution of power over frequency) of a stationary time series from a finite set of measurements, by means of either nonparametric or parametric techniques. This paper introduces the spectral analysis problem, motivates the definition of power spectral density functions, and reviews some important and new techniques in nonparametric and parametric spectral estimation. We also consider the problem in the context of multivariate time series.