Scala for Machine Learning - Second Edition

Fourier analysis

The purpose of spectral density estimation is to measure the amplitude of a signal or a time series according to its frequency [3:5]. The objective is to estimate the spectral density by detecting periodicities in the dataset. A scientist can better understand a signal or time series by analyzing its harmonics.

Note

Spectral theory:

Spectral analysis for time series should not be confused with Spectral Theory, a subset of linear algebra that studies Eigen functions on Hilbert and Banach spaces. In fact, harmonic analysis and Fourier analysis are regarded as a subset of spectral theory.

Let us explore the concept behind the discrete Fourier series as well as its benefits as applied to financial markets. Fourier analysis approximates ...