Introduction

Abstract

In this chapter, we describe some basic properties of stationary time series. Two fundamental approaches to time series analysis have been developed so far. One is the time-domain approach, and the other is the frequency-domain approach. In this book, we place the emphasis on the frequency-domain approach to analyzing stationary time series. Prediction problems, including interpolation and extrapolation problems, are discussed for stationary time series. In particular, we clarify the construction of a robust linear interpolator and extrapolator.