Spectral Analysis of Time Series: The Periodogram Revisited and Reclaimed

Abstract

13.1 The periodograms of the sunspot numbers and Beveridge’s wheat price index calculated in Chapter 3 are rather ‘jumpy’ and show numerous peaks, particularly in the latter, which led to much disquiet from commentators and discussants when they were first published and a rather unconvincing explanation by Beveridge (§3.8). Subsequently, periodogram analysis lost much of its appeal, but it was only in the late 1940s that a convincing explanation was offered for this erratic behaviour of the periodogram.