Abstract
Spectral analysis is a statistical approach for analysing stationary time series data in which the series is decomposed into cyclical or periodic components indexed by the frequency of repetition. Spectral analysis falls within the frequency domain approach to time series analysis. The spectral density function plays the central role and it summarizes the contributions of cyclical components to the variation of a stationary time series. The spectral density at frequency zero is particularly important because of its direct link to the variance of a time series sample average, that is, the long-run variance.
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Vogelsang, T.J. (2018). Spectral Analysis. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_1275
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DOI: https://doi.org/10.1057/978-1-349-95189-5_1275
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