Spectral density estimation

Summary

Spectral density estimation is the problem of estimating the spectral density of a stationary process from a finite stretch of data. The spectral density describes how the variance of the process is spread over frequencies. The raw periodogram is too noisy for this, so practical estimators smooth it over nearby frequencies or fit a parametric model. Spectral estimates reveal periodic components and the memory structure of a series and are used in signal processing, economics and geophysics.